An intraday pricing model of foreign exchange markets /

An intraday pricing model of foreign exchange markets /

Saved in:

Bibliographic Details
Author / Creator:	Romeu, Rafael, 1975- author.
Imprint:	[Washington, D.C.] : International Monetary Fund, ©2003.
Description:	1 online resource (35 pages) : illustrations
Language:	English
Series:	IMF working paper, 2227-8885 ; WP/03/115 IMF working paper ; WP/03/115.
Subject:	Foreign exchange rates -- Econometric models. Liquidity (Economics) -- Econometric models. Foreign exchange rates -- Econometric models. Liquidity (Economics) -- Econometric models.
Format:	E-Resource Book
URL for this record:	http://pi.lib.uchicago.edu/1001/cat/bib/12496503

Hidden Bibliographic Details
Other authors / contributors:	International Monetary Fund. International Capital Markets Department.
ISBN:	1451899297 9781451899290 1282010360 9781282010369 9781451853889 1451853882
Notes:	Includes bibliographical references (pages 32-35). Restrictions unspecified Electronic reproduction. [Place of publication not identified] : HathiTrust Digital Library, 2010. Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002. http://purl.oclc.org/DLF/benchrepro0212 digitized 2010 HathiTrust Digital Library committed to preserve Print version record.
Summary:	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.
Other form:	Print version: Romeu, Rafael, 1975- Intraday pricing model of foreign exchange markets. [Washington, D.C.] : International Monetary Fund, ©2003
Standard no.:	10.5089/9781451899290.001

Description
Summary:	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.
Physical Description:	1 online resource (35 pages) : illustrations
Format:	Master and use copy. Digital master created according to Benchmark for Faithful Digital Reproductions of Monographs and Serials, Version 1. Digital Library Federation, December 2002.
Bibliography:	Includes bibliographical references (pages 32-35).
ISBN:	1451899297 9781451899290 1282010360 9781282010369 9781451853889 1451853882
ISSN:	2227-8885 ;