haku: @author Moore, M. J. / yhteensä: 3
viite: 3 / 3
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| Tekijä: | Moore, M. J. Roche, M. J. |
| Otsikko: | Liquidity in the forward exchange market |
| Lehti: | Journal of Empirical Finance
2001 : MAY, VOL. 8:2, p. 157-170 |
| Asiasana: | Foreign exchange market Cash management Artificial intelligence |
| Kieli: | eng |
| Tiivistelmä: | The forward foreign exchange market is modelled within the framework of a limited participation two-country model and then simulated using the artificial economy methodology. The new model improves on the standard two-country cash-in-advance model in a number of ways. It gets closer to the observed lack of autocorrelation in spot returns and it helps to explain the persistence in the forward discount. |
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