1.

Record Nr.

UNINA9910821264403321

Autore

Romeu Rafael <1975->

Titolo

A puzzle of microstructure market maker models / / prepared by Rafael Romeu

Pubbl/distr/stampa

[Washington, D.C.], : International Monetary Fund, 2004

ISBN

1-4623-3295-1

1-4527-2306-0

1-281-11651-3

9786613776440

1-4518-9056-7

Edizione

[1st ed.]

Descrizione fisica

1 online resource (24 p.)

Collana

IMF working paper ; ; WP/04/6

Soggetti

Foreign exchange rates - Econometric models

Foreign exchange market - Econometric models

Information theory in finance

Lingua di pubblicazione

Inglese

Formato

Materiale a stampa

Livello bibliografico

Monografia

Note generali

"January 2004."

Nota di bibliografia

Includes bibliographical references (p. 21-23).

Nota di contenuto

""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References""

Sommario/riassunto

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.