Verfügbarkeit: A Puzzle of Microstructure Market Maker Models

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 d...

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1. Verfasser:	Romeu, Rafael (VerfasserIn)
Format:	Elektronisch E-Book
Sprache:	English
Veröffentlicht:	Washington, D.C International Monetary Fund 2004
Schriftenreihe:	IMF Working Papers Working Paper No. 04/6
Online-Zugang:	UBW01 UEI01 LCO01 SBR01 UER01 SBG01 UBG01 FAN01 UBT01 FKE01 UBY01 UBA01 FLA01 UBM01 UPA01 UBR01 FHA01 FNU01 BSB01 TUM01 Volltext
Zusammenfassung:	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
Beschreibung:	1 Online-Ressource (24 p)
ISBN:	1451842325 9781451842326

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spelling	Romeu, Rafael Verfasser aut A Puzzle of Microstructure Market Maker Models Romeu, Rafael Washington, D.C International Monetary Fund 2004 1 Online-Ressource (24 p) txt rdacontent c rdamedia cr rdacarrier IMF Working Papers Working Paper No. 04/6 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 Online-Ausg http://elibrary.imf.org/view/IMF001/00099-9781451842326/00099-9781451842326/00099-9781451842326.xml Verlag URL des Erstveröffentlichers Volltext
spellingShingle	Romeu, Rafael A Puzzle of Microstructure Market Maker Models
title	A Puzzle of Microstructure Market Maker Models
title_auth	A Puzzle of Microstructure Market Maker Models
title_exact_search	A Puzzle of Microstructure Market Maker Models
title_exact_search_txtP	A Puzzle of Microstructure Market Maker Models
title_full	A Puzzle of Microstructure Market Maker Models Romeu, Rafael
title_fullStr	A Puzzle of Microstructure Market Maker Models Romeu, Rafael
title_full_unstemmed	A Puzzle of Microstructure Market Maker Models Romeu, Rafael
title_short	A Puzzle of Microstructure Market Maker Models
title_sort	a puzzle of microstructure market maker models
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