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Cover Art
E-RESOURCE
Author Romeu, Rafael.

Title An Intraday Pricing Model of Foreign Exchange Markets [electronic resource] / Rafael Romeu.

Published Washington, D.C. : International Monetary Fund, 2003.

Copies

Location Call No. Status
 UniM INTERNET resource    AVAILABLE
Physical description 1 online resource (35 p.)
Series IMF Working Papers; Working Paper ; No. 03/115
IMF Working Papers; Working Paper ; No. 03/115
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.
Notes Description based on print version record.
Other author Romeu, Rafael.
Subject Equation
Equations
International Macroeconomics
Inventory Control
Inventory Management
Inventory
ISBN 1451853882 : 15.00 USD
9781451853889
ISSN 1018-5941
Standard Number 10.5089/9781451853889.001