haku: @author Chakrabarti, R. / yhteensä: 3
viite: 2 / 3
| Tekijä: | Chakrabarti, R. |
| Otsikko: | Just another day in the inter-bank foreign exchange market |
| Lehti: | Journal of Financial Economics
2000 : APR, VOL. 56:1, p. 29-64 |
| Asiasana: | Stock markets Foreign exchange Models |
| Vapaa asiasana: | Microstructure |
| Kieli: | eng |
| Tiivistelmä: | This paper develops a theory of bid-ask quotes provided by foreign exchange dealers in the inter-bank market based on their beliefs and their inventory positions. There is built an agent-based model of the inter-dealer market where dealers learn in a Bayesian manner from quotes from other dealers. Using simulations, it is found that the resulting intra-day spreads and between-quote returns largely conform to the empirically observed intra-day U-shaped pattern. This paper also studies the factors that determine this U-shape. |
SCIMA