Figure 1: The graph shows the order fills for different values of Ω, which parametrizes the market maker’s level of ambiguity aversion. For example, when Ω is 0.4, a 0.001 share of the second Arrow- Debreu security is filled. The second Arrow-Debreu security pays $1 to its holder if and only if the second state is realized at maturity. In this subsection, we show how the market maker’s pivot prior probabilistic belief affects the way our algorithm clears the market. Table 5 below shows the limit order book used for this subsection. Table 6 below shows the set of simulation parameters for both iterations. Table 5 Sample Limit Order Book Used for Simulation B 26 order limit security bid price payoff matrix buy # quantity # per state state state state state or b share 1 2 3 4 5 sell 1 0.001 1 0.18 1 0 0 0 0 buy 2 0.001 2 0.18 0 1 0 0 0 buy 3 0.001 3 0.18 0 0 1 0 0 buy 4 0.001 4 0.18 0 0 0 1 0 buy 5 0.001 5 0.18 0 0 0 0 1 buy 5.2 Simulation B: Market Maker’s Pivot Probability Distribution