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Author : Chiara Banti
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (87 download)
Download or read book Essays in FX Market Microstructure written by Chiara Banti and published by . This book was released on 2013 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Jeffrey A. Frankel
Publisher : University of Chicago Press
ISBN 13 : 0226260232
Total Pages : 358 pages
Book Rating : 4.2/5 (262 download)
Download or read book The Microstructure of Foreign Exchange Markets written by Jeffrey A. Frankel and published by University of Chicago Press. This book was released on 2009-05-15 with total page 358 pages. Available in PDF, EPUB and Kindle. Book excerpt: The foreign exchange market is the largest, fastest-growing financial market in the world. Yet conventional macroeconomic approaches do not explain why people trade foreign exchange. At the same time, they fail to explain the short-run determinants of the exchange rate. These nine innovative essays use a microstructure approach to analyze the workings of the foreign exchange market, with special emphasis on institutional aspects and the actual behavior of market participants. They examine the volume of transactions, heterogeneity of traders, the time of day and location of trading, the bid-ask spread, and the high level of exchange rate volatility that has puzzled many observers. They also consider the structure of the market, including such issues as nontransparency, asymmetric information, liquidity trading, the use of automated brokers, the relationship between spot and derivative markets, and the importance of systemic risk in the market. This timely volume will be essential reading for anyone interested in the economics of international finance.
Author : Zhiyong Li
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (125 download)
Download or read book Essays on the Foreign Exchange Market written by Zhiyong Li and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Soheil Mahmoodzadeh
Publisher :
ISBN 13 :
Total Pages : 84 pages
Book Rating : 4.:/5 (112 download)
Download or read book Essays on Market Microstructure and Foreign Exchange Market written by Soheil Mahmoodzadeh and published by . This book was released on 2015 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: High frequency trading (HFT) has become a predominant feature of financial markets. Thisthesis studies different aspects of the HFT in the Electronic Broking Services (EBS) interbank foreign exchange (FX) market.The first paper of this Thesis (Chapter 1) studies changes in the spread, market depth anddegree of adverse selection due to the lower minimum tick size. The main conclusion is that thereduction in the spread was mostly absorbed by the HFTs, whereas the manual traders were pushedback from the top of the order book and experienced longer execution times. Manual marketmakers were willing to cross the spread and act as market takers changing the informationalcontent of the order flow. Market depth was reduced significantly following the introduction ofdecimal pip pricing. The second paper of this Thesis (Chapter 2) presents the effect of the tick size change onthe adverse selection problem in the EBS market. Econometric analysis of serial correlationproperties of jumps in exchange rates, and of the spread leads to the conclusion that adverseselection is reduced by tick size change. Similar cleavage occurs before and after tick size changein an empirical adverse selection proxy. This chapter sheds light on trading behavior of marketparticipants. The third paper of this thesis (Chapter 3) discusses the properties of triangular arbitrageopportunity in the EBS market. The results cast into question current understanding of triangulararbitrage in the literature, specifically in relation to algorithmic trading. The increasingpresence of algorithmic traders does not offer significant improvement in speed of price discoveryby quickly consuming the triangular arbitrage opportunities. Rather, algorithmic tradinginfluences the creation of triangular arbitrage by two countervailing effects.
Author : Anusha Chari
Publisher :
ISBN 13 :
Total Pages : 446 pages
Book Rating : 4.:/5 ( download)
Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Anusha Chari and published by . This book was released on 2000 with total page 446 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Teng Miao
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (16 download)
Download or read book Essays in Microstructure Analysis in the Foreign Exchange Market written by Teng Miao and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arthur Anthony Ferri
Publisher :
ISBN 13 : 9780599507012
Total Pages : 130 pages
Book Rating : 4.5/5 (7 download)
Download or read book Essays On The Pricing And Market Microstructure Of Foreign-Currency Options: to 25; Pages:26 to 50; Pages:51 to 75; Pages:76 to 100; Pages:101 to 125; Pages:126 to 130 written by Arthur Anthony Ferri and published by . This book was released on 2000 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Rafael Romeu
Publisher :
ISBN 13 :
Total Pages : 102 pages
Book Rating : 4.:/5 (254 download)
Download or read book Essays on the Microstructure of Foreign Exchange Markets written by Rafael Romeu and published by . This book was released on 2002 with total page 102 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Arthur A. Ferri
Publisher :
ISBN 13 :
Total Pages : 244 pages
Book Rating : 4.:/5 (552 download)
Download or read book Essays on the Pricing and Market Microstructure of Foreign-currency Options written by Arthur A. Ferri and published by . This book was released on 1999 with total page 244 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Michael Brolley
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (13 download)
Download or read book Essays in Market Microstructure written by Michael Brolley and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Antti Suvanto
Publisher :
ISBN 13 :
Total Pages : 148 pages
Book Rating : 4.3/5 ( download)
Download or read book Foreign Exchange Dealing written by Antti Suvanto and published by . This book was released on 1993 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: Tiivistelmä.
Author : Shmuel Baruch
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (247 download)
Download or read book Essays in Market Microstructure written by Shmuel Baruch and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Qin Wang
Publisher :
ISBN 13 : 9781109127584
Total Pages : 99 pages
Book Rating : 4.1/5 (275 download)
Download or read book Essays in Market Microstructure written by Qin Wang and published by . This book was released on 2000 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Yenan Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.4/5 (64 download)
Download or read book Essays on and Beyond Market Microstructure written by Yenan Wang and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation consists of two parts. The first part examines standard microstructure topics from new perspectives. Chapter 2 investigates the market implications of high-frequency trading focusing on an ignored channel that existing market makers might reduce the capital exploited in market making facing the competition from high-frequency traders. I find that more high-frequency trading might not improve market quality exactly because of this channel. My model also generates several policy suggestions in improving the market quality with the presence of high-frequency trading. Chapter 3 studies the large traders' execution problem to understand whether electronic trading brings execution advantage. I find that although an increase in trading frequency improves their executions, losing the ability to adopt reputation-based trading strategies due to the prevalence of anonymous trading in this electronic trading era can be so costly that large traders become worse-off in execution. Chapter 4 considers an insider trading problem with uncertainty over the insider's existence. The competitive market making assumption is not consistent with this new element because the insider can achieve an unbounded payoff by taking advantage of the competition. Instead, I construct and analyze the equilibrium under the assumption of monopolistic market making. The model can explain the heterogeneous changes in liquidity of different stocks after a regulation.The second part of my dissertation study two elements outside the scope of current microstructure literature but (in my opinion) are important and should be incorporated to achieve a comprehensive understanding of financial markets. Chapter 5 studies an attention allocation problem under the context of contract and information design. The principal needs to jointly design compensation for the agent and his attention allocation in acquiring signals to motivate the agent to exert the unobservable effort. The flexibility to allocate attention can lead to perpetual cooperation between the principal and the agent. Chapter 6 studies belief updating when the state space contains elements that we are not aware of with an axiomatic approach. The agent can learn from what he is currently aware of and updates his belief when awareness is related to the state realization. In this case, besides leading to Bayesian updating, the arrival of a new signal can also expand the agent's awareness and trigger further updating. Its implication is discussed under the context of persuasion.
Author : Keith Jakob
Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.:/5 (449 download)
Download or read book Two Essays in Empirical Market Microstructure written by Keith Jakob and published by . This book was released on 2000 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two empirical market-microstructure essays. Both incorporate information from the TORQ database but are otherwise unrelated and deal with separate issues in the finance literature. The first essay empirically examines an existing asymmetric information model from the microstructure literature. The second essay examines the order arrival process around dividends.
Download or read book Berlusconi Silvio (1936-). written by and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Zeitungsausschnitte (1992-2000).
Author : George Glenn Baigent
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (391 download)
Download or read book Essays in Market Microstructure written by George Glenn Baigent and published by . This book was released on 1997 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
