Optimal dealer pricing under transaction uncertainty

• Published in: Journal of intelligent manufacturing Vol. 28; no. 3; pp. 657 - 665
• Main Authors: Guo, Cheng, Gao, Jinwu
• Format: Journal Article
• Language: English
• Published: New York Springer US 01.03.2017; Springer Nature B.V
• Subjects: Bids; Business and Management; Control; Differential equations; Equilibrium; Inventory; Machines; Manufacturing; Markets; Mathematical models; Mechatronics; Noise; Optimization; Parameters; Prices; Pricing; Pricing policies; Processes; Production; Rates of return; Robotics; Securities markets; Securities prices; Security; Subject specialists; Transaction processing; Uncertainty; Variables; Uncertain process; Uncertain variable; Optimal dealer pricing; Transaction uncertainty; Uncertain differential equation
• ISSN: 0956-5515; 1572-8145
• DOI: 10.1007/s10845-014-1002-8

Dealers in securities markets are standing ready immediately to trade certain amounts of securities at stated bid and ask prices. This paper assumes that the amount of transactions follows an uncertain mean-reverting process associated with the bid and ask prices. In order to maximize the dealer’s t...