02780nam 2200625 a 450 991082126440332120200520144314.01-4623-3295-11-4527-2306-01-281-11651-397866137764401-4518-9056-7(CKB)3360000000441014(EBL)3012490(SSID)ssj0000948596(PQKBManifestationID)11531048(PQKBTitleCode)TC0000948596(PQKBWorkID)10949354(PQKB)10275976(OCoLC)535146870(MiAaPQ)EBC3012490(IMF)WPIEE0062004(EXLCZ)99336000000044101420090806d2004 uy 0engur|n|---|||||txtccrA puzzle of microstructure market maker models /prepared by Rafael Romeu1st ed.[Washington, D.C.] International Monetary Fund20041 online resource (24 p.)IMF working paper ;WP/04/6"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 paper ;WP/04/6.Foreign exchange ratesEconometric modelsForeign exchange marketEconometric modelsInformation theory in financeForeign exchange ratesEconometric models.Foreign exchange marketEconometric models.Information theory in finance.Romeu Rafael1975-1756977International Monetary Fund.International Capital Markets Dept.MiAaPQMiAaPQMiAaPQBOOK9910821264403321A puzzle of microstructure market maker models4194602UNINA