A PUZZLE OF MICROSTRUCTURE MARKET MAKER MODELS

Download A Puzzle Of Microstructure Market Maker Models ebook PDF or Read Online books in PDF, EPUB, and Mobi Format. Click Download or Read Online button to A PUZZLE OF MICROSTRUCTURE MARKET MAKER MODELS book pdf for free now.

A Puzzle Of Microstructure Market Maker Models

Author : Rafael Romeu
ISBN :
Genre : Foreign exchange market
File Size : 47.48 MB
Format : PDF, ePub
Download : 199
Read : 1011

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.
Category: Foreign exchange market

Imf Staff Papers

Author : International Monetary Fund. Research Dept.
ISBN : 9781452743264
Genre : Business & Economics
File Size : 26.29 MB
Format : PDF, ePub, Mobi
Download : 969
Read : 842

This last issue for 2005 comprises seven new papers, including a contribution to the journal's occasional Special Data Section about domestic debt markets in Sub-Saharan Africa, and also an in-depth look at the internal job market for entry-level economists at the IMF. The remaining articles cover toics as diverse as: modeling of asset markets, exchange rates in developing countries, international bank claims on Latin America, the effectiveness of "early warning" systems, and the use (by emerging market countries) of the IMF's Special Data Dissemination Standard (SDDS).
Category: Business & Economics

Imf Research Bulletin March 2004

Author : International Monetary Fund
ISBN : 9781451974805
Genre : Business & Economics
File Size : 38.54 MB
Format : PDF, Kindle
Download : 157
Read : 1155

The IMF Research Bulletin, a quarterly publication, selectively summarizes research and analytical work done by various departments at the IMF, and also provides a listing of research documents and other research-related activities, including conferences and seminars. The Bulletin is intended to serve as a summary guide to research done at the IMF on various topics, and to provide a better perspective on the analytical underpinnings of the IMF's operational work.
Category: Business & Economics

An Intraday Pricing Model Of Foreign Exchange Markets

Author : Rafael Romeu
ISBN : UCSD:31822033610304
Genre : Foreign exchange rates
File Size : 76.68 MB
Format : PDF
Download : 586
Read : 803

Market makers learn about asset values as they set intraday prices and absorb portfolio flows. Absorbing these flows causes inventory imbalances. Previous work has argued that market makers change prices to manage incoming flows and offset inventory imbalances. This study argues that they have multiple instruments, or ways to manage inventory imbalances and learn about evolving asset values. Hence, they smooth inventory levels and update prior information about assets using multiple instruments. In ignoring other instruments, previous studies have ignored the information that these provide and overemphasize the role of price changes in inventory management. The model presented here provides new estimates of asymmetric information and inventory effects, the price impact of each instrument, the cost of liquidity, and the impact of an intervention on these costs.
Category: Foreign exchange rates

Publications Catalog

Author : International Monetary Fund
ISBN : IND:30000122799616
Genre : International finance
File Size : 80.71 MB
Format : PDF, ePub, Docs
Download : 923
Read : 1198

Category: International finance

Imf Research Bulletin

Author :
ISBN : UCBK:C094036110
Genre : International finance
File Size : 26.28 MB
Format : PDF, Docs
Download : 533
Read : 855

Category: International finance

Imf Survey

Author : International Monetary Fund
ISBN : MINN:31951P00908042W
Genre : International finance
File Size : 87.72 MB
Format : PDF, Mobi
Download : 983
Read : 768

Category: International finance