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A puzzle of microstructure market maker models /
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-...
| Clasificación: | Libro Electrónico |
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| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2004.
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| Colección: | IMF working paper ;
WP/04/6. |
| Temas: | |
| Acceso en línea: | Texto completo |
| Sumario: | 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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| Descripción Física: | 1 online resource (23 pages) : illustrations |
| Bibliografía: | Includes bibliographical references (pages 21-23). |
| ISBN: | 9781451890563 1451890567 1462332951 9781462332953 1452723060 9781452723068 1281116513 9781281116512 9786613776440 6613776440 |
| ISSN: | 2227-8885 ; |