An Intraday Pricing Model of Foreign Exchange Markets High quality books
An Intraday Pricing Model of Foreign Exchange Markets
By:Rafael Romeu
Published on 2003-06-01 by International Monetary Fund
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.
This Book was ranked at 41 by Google Books for keyword Foreign exchange market.
Book ID of An Intraday Pricing Model of Foreign Exchange Markets's Books is 1ks0cuwryawC, Book which was written byRafael Romeuhave ETAG "MqcMCSJ2o4g"
Book which was published by International Monetary Fund since 2003-06-01 have ISBNs, ISBN 13 Code is 9781451899290 and ISBN 10 Code is 1451899297
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