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

• Autore: Romeu Rafael <1975->
• Pubblicazione: [Washington, D.C.], : International Monetary Fund, 2004
• Edizione: 1st ed.
• Descrizione fisica: 1 online resource (24 p.)
• Soggetto topico: Foreign exchange rates - Econometric models; Foreign exchange market - Econometric models; Information theory in finance
• 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.
• Titolo autorizzato: A puzzle of microstructure market maker models
• ISBN: 1-4623-3295-1; 1-4527-2306-0; 1-281-11651-3; 9786613776440; 1-4518-9056-7
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910821264403321
• Lo trovi qui: Univ. Federico II
• Serie: IMF working paper ; ; WP/04/6.