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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 |
|---|---|
| Autor principal: | |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
[Washington, D.C.] :
International Monetary Fund,
2004.
|
| Colección: | IMF working paper ;
WP/04/6. |
| Temas: | |
| Acceso en línea: | Texto completo |
MARC
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| 100 | 1 | |a Romeu, Rafael, |d 1975- |1 https://id.oclc.org/worldcat/entity/E39PCjMg6wpqXFXY7x9jJQK9Qq | |
| 245 | 1 | 2 | |a A puzzle of microstructure market maker models / |c prepared by Rafael Romeu. |
| 260 | |a [Washington, D.C.] : |b International Monetary Fund, |c 2004. | ||
| 300 | |a 1 online resource (23 pages) : |b illustrations | ||
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| 490 | 1 | |a IMF working paper, |x 2227-8885 ; |v WP/04/6 | |
| 504 | |a Includes bibliographical references (pages 21-23). | ||
| 588 | 0 | |a Print version record. | |
| 506 | |3 Use copy |f Restrictions unspecified |2 star |5 MiAaHDL | ||
| 533 | |a Electronic reproduction. |b [Place of publication not identified] : |c HathiTrust Digital Library, |d 2010. |5 MiAaHDL | ||
| 538 | |a Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. |u http://purl.oclc.org/DLF/benchrepro0212 |5 MiAaHDL | ||
| 583 | 1 | |a digitized |c 2010 |h HathiTrust Digital Library |l committed to preserve |2 pda |5 MiAaHDL | |
| 520 | 3 | |a 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. | |
| 505 | 0 | |a Contents -- I. Introduction -- II. Reconsidering the Lyons (1995) Result -- III. A Puzzle of Microstructure Market Maker Models -- IV. Conclusion -- References | |
| 546 | |a English. | ||
| 590 | |a ProQuest Ebook Central |b Ebook Central Academic Complete | ||
| 650 | 0 | |a Foreign exchange rates |x Econometric models. | |
| 650 | 0 | |a Foreign exchange market |x Econometric models. | |
| 650 | 0 | |a Information theory in finance. | |
| 650 | 6 | |a Taux de change |x Modèles économétriques. | |
| 650 | 6 | |a Marché des changes |x Modèles économétriques. | |
| 650 | 6 | |a Théorie de l'information dans les finances. | |
| 650 | 7 | |a Foreign exchange market |x Econometric models |2 fast | |
| 650 | 7 | |a Foreign exchange rates |x Econometric models |2 fast | |
| 650 | 7 | |a Information theory in finance |2 fast | |
| 710 | 2 | |a International Monetary Fund. |b International Capital Markets Department. | |
| 776 | 0 | 8 | |i Print version: |a Romeu, Rafael, 1975- |t Puzzle of microstructure market maker models. |d [Washington, D.C.] : International Monetary Fund, ©2004 |w (OCoLC)55988065 |
| 830 | 0 | |a IMF working paper ; |v WP/04/6. | |
| 856 | 4 | 0 | |u https://ebookcentral.uam.elogim.com/lib/uam-ebooks/detail.action?docID=3012490 |z Texto completo |
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