03369ntm a22005057i 4500 000303459 CZ-PrVSE 20160205205557.0 m d cr n|||||||||| 160205s2015 xr fsbm 000 0 eng d NEZPRACOVANÝ IMPORT ABA006 cze ABA006 ABA006 rda Čamaj, Matej ISIS:87229 dis Market making jako obchodní strategie eng Market Making Trading Strategy / Matej Čamaj 2015 ?? s. : digital, PDF soubor Vedoucí práce: Bohumil Stádník Diplomová práce (Ing.)—Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví, 2016 Obsahuje bibliografii Textový (vysokoškolská kvalifikační práce) Rok obhajoby 2016 The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases. Způsob přístupu: Internet finanční inženýrství [obor dipl. práce] diplomové práce fd132022 czenas master's theses eczenas Intraday Trading Market Microstructure Stochastic Processes Market Making Stádník, Bohumil pna2012685552 ths Fičura, Milan vse2015859798 opn Vysoká škola ekonomická v Praze. Fakulta financí a účetnictví kn20010709398 dgg https://isis.vse.cz/zp/52458/podrobnosti VŠKP v InSIS https://isis.vse.cz/zp/52458 Hlavní práce https://isis.vse.cz/zp/52458/posudek/vedouci Hodnocení vedoucího https://isis.vse.cz/zp/52458/posudek/oponent/45533 Oponentura https://isis.vse.cz/zp/52458/podrobnosti dc:identifier NEPOSILAT VSKP vse52458 160205 52458