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Record Nr. |
UNINA9910821264403321 |
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Autore |
Romeu Rafael <1975-> |
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Titolo |
A puzzle of microstructure market maker models / / prepared by Rafael Romeu |
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Pubbl/distr/stampa |
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[Washington, D.C.], : International Monetary Fund, 2004 |
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ISBN |
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1-4623-3295-1 |
1-4527-2306-0 |
1-281-11651-3 |
9786613776440 |
1-4518-9056-7 |
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Edizione |
[1st ed.] |
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Descrizione fisica |
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1 online resource (24 p.) |
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Collana |
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IMF working paper ; ; WP/04/6 |
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Soggetti |
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Foreign exchange rates - Econometric models |
Foreign exchange market - Econometric models |
Information theory in finance |
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Lingua di pubblicazione |
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Formato |
Materiale a stampa |
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Livello bibliografico |
Monografia |
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Note generali |
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Nota di bibliografia |
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Includes bibliographical references (p. 21-23). |
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Nota di contenuto |
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""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References"" |
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Sommario/riassunto |
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This study addresses the empirical viability of microstructure models of dealer price setting. New evidence is presented rejecting these models' specifications of how information asymmetry and inventory accumulation affect dealer pricing. This rejection is consistent with those of other dealer-level empirical studies. This study suggests a new modeling option may be to reconsider optimal price setting while relaxing assumptions that specify incoming orders as the only component through which dealer inventories evolve. This approach is consistent with inventory evolution data and with general equilibrium models' assumptions about currency markets. |
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