• Journal of the Korean Mathematical Society
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• v.61 no.5
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• pp.875-898
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• 2024

This study estimates the true price of an asset and finds the optimal bid/ask prices for market makers. We provide a novel state-space model based on the exponential Ornstein-Uhlenbeck volatility and the Heston models with Gaussian noise, where the traded price and volume are available, but the true price is not observable. An objective of this study is to use Bayesian filtering to estimate the posterior distribution of the true price, given the traded price and volume. Because the posterior density is intractable, we employ the guided particle filtering algorithm, with which adaptive rejection metropolis sampling is used to generate samples from the density function of an unknown distribution. Given a simulated sample path, the posterior expectation of the true price outperforms the traded price in estimating the true price in terms of both the mean absolute error and root-mean-square error metrics. Another objective is to determine the optimal bid/ask prices for a market maker. The profit-and-loss of the market maker is the difference between the true price and its bid/ask prices multiplied by the traded volume or bid/ask size of the market maker. The market maker maximizes the expected utility of the PnL under the posterior distribution. We numerically calculate the optimal bid/ask prices using the Monte Carlo method, finding that its spread widens as the market maker becomes more risk-averse, and the bid/ask size and the level of uncertainty increase.

• Management Science and Financial Engineering
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• v.18 no.2
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• pp.1-4
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• 2012

We study optimal trading strategy of a market maker with stock inventory. Following Avellaneda and Stoikov (2008), we assume the stock price follows a normal distribution. However, we take a constant expected rate of the stock return and assume that the stock volatility is an inverse function of the stock price level. We show that the optimal bid-ask spread of the market maker is wider for a higher expected rate of stock returns.

• Information Systems Review
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• v.9 no.2
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• pp.41-66
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• 2007

The e-marketplace is a virtual marketplace where buyers and sellers meet in order to conduct transactions through the intermediation of market-makers. For the success of an e-marketplace, it is crucial for the market-maker to induce both buyers and sellers to make active transactions in it. However, their participation is frequently deterred by potential risk factors caused mainly by the inherent, structural complexity of the e-marketplace. Therefore, it is a critical challenge for the market-maker to identify and manage the transactional risk perceived by both the buyers and sellers. In this paper, we investigate the sources of buyers' and sellers' perceived risks and their mitigating factors in the e-marketplace. Specifically, we derive an analysis framework based on the economic theory of agency relationship. The framework includes four sources of the risks(perceived information asymmetry, fears of seller opportunism, fears of buyer opportunism, and concerns about market-maker's role incompleteness) and five mitigators of the risks(website informativeness, trust in market-maker, trust in seller, product diagnosticity, and social presence). Then, we empirically verify the framework through a case study on four successful e-marketplaces, and provide implications and strategies for the market-maker to effectively manage the transactional risks.

• KIPS Transactions on Computer and Communication Systems
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• v.11 no.8
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• pp.269-280
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• 2022

With the rise of a decentralized finance market (so called, DeFi) using blockchain technology, users and capital liquidity of decentralized finance applications are increasing significantly. The Automated Market Maker (AMM) is a protocol that automatically calculates the asset price based on the liquidity of the decentralized trading platform, and is currently most commonly used in the decentralized exchanges (DEX), since it can proceed the transactions by utilizing the liquidity pool of the trading platform even if the buyers and sellers do not exist at the same time. However, Automated Market Maker have some disadvantages since the cost efficiency of each transaction using Automated Market Maker depends on the liquidity size of some liquidity pools used for the transaction, so the smaller the size of the liquidity pool and the larger the transaction size, the smaller the cost efficiency of the trade. To solve this problem, some platforms are adopting Transaction Path Routing Algorithm that bypasses transaction path to other liquidity pools that have relatively large size to improve cost efficiency, but this algorithm can be further improved because it uses only a single transaction path to proceed each transaction. In addition to just bypassing transaction path, in this paper we proposed a Multi-Path Routing Algorithm that uses multiple transaction paths simultaneously by distributing transaction size, and showed that the cost efficiency of transactions can be further improved in the Automated Market Maker-based trading environment.

• Proceedings of the Korean Institute of Information and Commucation Sciences Conference
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• 2017.10a
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• pp.736-739
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• 2017

Recently, makers who do not have huge production equipments and who actually make products that they thought by utilizing digital production tools are emerging as new trends. As these makers shared how to make products, the 'maker movement', an open source manufacturing movement, spread. In the case of the domestic market, the maker movement is being activated through the government's policy support. However, compared to developed countries, there is not enough awareness and environment of maker culture, and only open platform hardware and software are used without specialized education / development equipment or kit for maker. Therefore, in this paper, we implement a MQTT protocol based Internet object maker kit for real service interworking rather than simple data connection through hardware connection.

• 한국벤처창업학회:학술대회논문집
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• 2019.04a
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• pp.13-21
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• 2019

"4차 산업 혁명"으로 대변되는 사회전반에 걸친 변화는 일상에서의 혁신과 일상적인 혁신을 필요로 하고 있다. 또한 국가차원에서 가능한 모든 혁신자산을 효율적으로 관리 운영하고 지속적으로 새로운 혁신자산을 확보하는 것이 국가경쟁력 향상의 제일목표가 되가고 있다. 이러한 시대 요구속에서 "메이커 운동(maker movement)"은 변화요구에 대응할 수 있는 대중(grassroot)혁신활동으로 주목받고 있다. 특히 메이커운동의 주요 활동공간인 '메이커 스페이스(makerspace)'는 메이커들이 서로의 지식을 나누고 자원과 결과물을 공유, 협업하는 장소로 최근에는 (예비)창업자를 위한 창업준비공간으로 기능을 확장하고 있다. 우리나라의 경우에도 2010년 이후 다양한 형태의 '메이커 스페이스'를 혁신기반육성을 위한 정책차원에서 지원하고 있다. 중소벤처기업부는 "메이커 스페이스" 확대 사업을 2018년부터 추진 중이며 '일반랩'과 '전문랩'으로 세분화 하여 '일반랩'은 메이커 입문과 기본단계에 있는 초보 메이커들을 위한 'Zero to Maker' 공간으로, '전문랩'은 전문가(창업가)들을 위한 'Maker to Maker(Market)' 공간으로 역할을 분할하여 지원하고 있다. 본 연구는 주목받고 있는 사회문화 현상이며 변화환경에 대응하기 위한 정책수단으로 활용되고 있는 메이커 관련 주제 중 메이커들이 활동하는 공간(메이커스페이스)에 대한 연구이다. 지금까지 메이커스페이스들 관한 국내외 주요 연구에 대하여 조사하고 최근 메이커스페이스에 요구되고 있는 기능적 확장을 위한 연구필요성 및 연구방향에 대해 논하고자 한다. 특히 창업 경영학적 관점에서 메이커스페이스 관련 연구의 필요성과 구체적인 연구 분야를 제시한다.

• Korean System Dynamics Review
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• v.13 no.2
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• pp.5-23
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• 2012

This paper studies dynamic relationship between cash market, forward market, and options market, from the perspective of systems thinking. It is shown that an exogenous shock to forward market can yield almost the same impact to the cash market, given a practically reasonable condition, but not vice versa. As far as options market is concerned, it matters what kind of options we deal with, who are long the option, and whether the option market maker performs dynamic hedging or not. In some cases, it is possible for the spot price to become unstable and diverge rather violently due to a strong negative feedback between the markets.

• Journal of the Korea Institute of Information and Communication Engineering
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• v.21 no.11
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• pp.2145-2152
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• 2017

As the ubiquitous paradigm that allows users to access the Internet anytime and anywhere is expanding, the expectation and interest of the Internet is increasing. As interest in the Internet has increased, interest in open source hardware has also increased. As a result, the maker, who is a creator who actually uses the digital production tools to create a product that he thought, is emerging as a new trend. As these makers shared how to make products, the 'maker movement', an open source manufacturing movement, spread. In the case of the domestic market, the government's policy support is also stimulating the maker movement. However, compared to developed countries, there is not enough awareness and environment of maker culture, and only open platform hardware and software are used without special education / development equipment or kit for maker.

• Asia-Pacific Journal of Business Venturing and Entrepreneurship
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• v.14 no.3
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• pp.111-127
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• 2019

The "fourth industrial revolution" is changing society as a whole. Public innovation is needed to enhance national competitiveness. Amid these times' demands, the "maker movement," a new form of DIY movement that has revived since 2000, is regarded as a "popular innovation activity" that can respond to changing needs. In particular, "Makerspace," a significant activity area for the maker's movement, is drawing attention as a place where "Maker" shares each other's knowledge and resources, and share results. Makerspace has recently expanded its functions into a 'public innovation platform' or (preparation) start-up preparation space for start-ups. South Korea has also supported various types of "Makerspace" since 2010 as a policy for fostering an innovation base. The Ministry of Small and Medium Venture Business has been pushing for expansion of Makerspace since 2018 and is providing support by dividing it into "general rap" and "professional wrap" and "zero to Maker" spaces for novice makers in the beginning and necessary stages of makers, while "professional rap" is divided into "Maker to Maker" spaces for professionals. This study is about Makerspace, space where makers are active among the topics related to manufacturers. Thus, in this study, significant domestic and international studies related to Makerspace have been investigated so far, and trends in related studies have analyzed. Based on this, the research needs and specifics of Makerspace, which has recently expanded its role and functions. In particular, the Commission intends to present the need for research on Makerspace and specific areas of study from a start-up management perspective to promote qualitative growth of Makerspace, which is changing into a popular innovation platform in the era of the fourth industry, and inducing a start-up management interest in new manufacturing industry types.

• Journal of the Korean Society of Industry Convergence
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• v.7 no.1
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• pp.121-127
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• 2004

This paper is to give some hints to solve the problems of the Korean The third Market suffering from the extreme shortage of the liquidity. To solve that problem, this paper mainly compare the liquidity indices of the Third Market with that of the Japanese third market, that is Mothers. The main liqudity indices of the Mothers shows better than that of the Korean Third Market redardless of the small numbers of the listed Firms. The main differences in the liquidity levels between two markets is to caused by the trading system. The Korean Third Market has been adapting the one-to-one trading system which most stock markets of the world gave up that system owing to the inefficiency. This paper shows the proper trading system for the Third Market is competitve trading system partialy combined with the market maker system beacause of the small firm characterristics.