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-...

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Détails bibliographiques
Cote:Libro Electrónico
Auteur principal: Romeu, Rafael, 1975-
Collectivité auteur: International Monetary Fund. International Capital Markets Department
Format: Électronique eBook
Langue:Inglés
Publié: [Washington, D.C.] : International Monetary Fund, 2004.
Collection:IMF working paper ; WP/04/6.
Sujets:
Foreign exchange rates > Econometric models.
Foreign exchange market > Econometric models.
Information theory in finance.
Taux de change > Modèles économétriques.
Marché des changes > Modèles économétriques.
Théorie de l'information dans les finances.
Foreign exchange market > Econometric models
Foreign exchange rates > Econometric models
Information theory in finance
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