forces. The first factor derives from the skewness in the pivot prior probability distribution. This factor causes the market maker to want to accept orders #1, #2, or #3. According to the market maker’s subjective probabilistic belief, he/she is very unlikely to be forced to pay money at the time the securities mature. However, the factor causes the market maker to not want to accept order #4 or #5. This factor becomes weaker with an increasingly large value of Ω. Suppose that the value of Ω becomes increasingly large. The set Ψ of probability distributions that the market maker considers in his/her decision making becomes larger. As a result, the upper bound and the lower bound on the probability of a particular outcome becomes higher and lower, respectively. The widening gap between the upper and lower bounds causes the market maker’s probabilistic belief to be increasingly uninformative. For example, suppose that the value of Ω is extremely large. The probability of a particular outcome can be as high as 1 and as low as 0. In such a case, it is as if the market maker had no information about the event. In conclusion, a larger value of Ω causes the market maker to further disregard the pivot prior distribution in making the decision, thereby weakening the first factor. The second factor derives from the market maker’s aversion to extreme downside risk. The price of any Arrow-Debreu security is between 0 and 1. Thus, the worst-case payoff of any Arrow- Debreu security is typically negative for the market maker. 7 Fearing this worst-case scenario, the ambiguity-averse market maker will not want to purchase the security. This factor causes the market maker to not want to fill any outstanding order. The second factor becomes stronger with an increasing value of Ω. Ω is a parameter that captures the extent to which the market maker is ambiguity averse. The larger the value of Ω, the more ambiguity averse the market maker. Ambiguity aversion causes the DM to become obsessed with the worst-case scenario. Therefore, a large value of Ω causes the second factor to become stronger. Figure 1 shows the simulation result. The result can be easily interpreted using the two coun- teracting forces we just explained. First, consider the situation in which Ω is small. The first factor dominates the second factor. As a result, the market maker accepts orders #1, #2 and #3 while declining orders #4 and #5. Second, consider the case in which Ω is large. Here, the second factor dominates the first factor. The market maker does not accept any order when Ω is larger than 0.4. $^{7}$It is zero if and only if the price is 1. 25