04250oam 22010934 450 991078851990332120230617033130.01-4623-3295-11-4527-2306-01-281-11651-397866137764401-4518-9056-7(CKB)3360000000441014(EBL)3012490(SSID)ssj0000948596(PQKBManifestationID)11531048(PQKBTitleCode)TC0000948596(PQKBWorkID)10949354(PQKB)10275976(OCoLC)535146870(MiAaPQ)EBC3012490(IMF)WPIEE0062004(EXLCZ)99336000000044101420020129d2004 uf 0engur|n|---|||||txtccrA Puzzle of Microstructure Market Maker Models /Rafael RomeuWashington, D.C. :International Monetary Fund,2004.1 online resource (24 p.)IMF Working Papers"January 2004."1-4518-4232-5 Includes bibliographical references (p. 21-23).""Contents""; ""I. Introduction""; ""II. Reconsidering the Lyons (1995) Result""; ""III. A Puzzle of Microstructure Market Maker Models""; ""IV. Conclusion""; ""References""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.IMF Working Papers; Working Paper ;No. 2004/006Foreign exchange ratesEconometric modelsForeign exchange marketEconometric modelsInformation theory in financeFinance: GeneralimfForeign ExchangeimfMoney and Monetary PolicyimfModel Evaluation and SelectionimfInternational Financial MarketsimfMonetary SystemsimfStandardsimfRegimesimfGovernment and the Monetary SystemimfPayment SystemsimfCurrencyimfForeign exchangeimfFinanceimfMonetary economicsimfExchange ratesimfExchange rate modellingimfCurrency marketsimfCurrenciesimfPurchasing power parityimfForeign exchange marketimfMoneyimfForeign exchange ratesEconometric models.Foreign exchange marketEconometric models.Information theory in finance.Finance: GeneralForeign ExchangeMoney and Monetary PolicyModel Evaluation and SelectionInternational Financial MarketsMonetary SystemsStandardsRegimesGovernment and the Monetary SystemPayment SystemsCurrencyForeign exchangeFinanceMonetary economicsExchange ratesExchange rate modellingCurrency marketsCurrenciesPurchasing power parityForeign exchange marketMoneyRomeu Rafael1462074International Monetary Fund.International Capital Markets Dept.DcWaIMFBOOK9910788519903321A Puzzle of Microstructure Market Maker Models3670922UNINA