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 0.002 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 Table 3 Sample Limit Order Book Used for Simulation A Table 4: The Set of Parameters Used for Each Iteration In Table 3, we purposefully make the bid prices slightly lower than 0.2. For example, because of the limit order logic, the market-clearing price of the first state has to be equal to or smaller than 0.18 for the market maker to accept the first order. If he/she wants to accept all five outstanding orders, he/she has to make every state price lower than or equal to 0.18. However, because the state prices must sum to 1, it is impossible to do so. Therefore, the market maker has to strategically accept some orders while declining others. We investigate how the market maker’s ambiguity aversion affects this strategic decision making through this simulation. When making a strategic choice over the five outstanding orders, there are two counteracting 24