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Title:	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates
From:	Markus A. Schmidt
Person:	Schmidt, Markus A. Verfasser aut
Main Author:	Schmidt, Markus A. (Author)
Format:	Thesis Book
Language:	English
Published:	Frankfurt am Main [u.a.] Lang 2008
Series:	Studien zu internationalen Wirtschaftsbeziehungen 13
Subjects:	Devisenmarkt Asymmetrische Information Wechselkurs Hochschulschrift
Online Access:	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016794549&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
Physical Description:	XI, 244 S. graph. Darst. 21 cm
ISBN:	9783631579282

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Record in the Search Index

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adam_text	* * * * * * * BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/989530582 DIGITALISIERT DURCH VLLL 3.3 INTERIM CONCLUSION: REVIEWING MARKET MAKERS PRICING BEHAVIOUR 93 APPENDIX TO CHAPTER 3 A.3.1 THE MADHAVAN AND SMIDT (1991) MODEL 97 A.3.1.1 A PORTFOLIO-THEORETIC DERIVATION OF THE BAYESIAN UPDATING RULE 97 A.3.1.2 DERIVATION OF EQUATION (3.6) 98 A.3.1.3 DERIVATION OF EQUATION (3.8) 99 A.3.1.4 DERIVATION OF EQUATION (3.12) 101 A.3.1.5 RELAXING THE ASSUMPTION THAT DESIRED INVENTORY (/*) IS CONSTANT 101 A.3.2 THE HUANG AND STOLL (1997) MODEL 102 A.3.2.1 DERIVATION OF EQUATION (3.18) 102 A.3.2.2 DERIVATION OF EQUATION (3.20) 103 4. INFORMATION CONTENT OF ORDER FLOW 105 4.1 COINTEGRATION ANALYSIS 107 4.2 VECTOR ERROR CORRECTION MODEIS 112 4.3 THE EVANS AND LYONS (2005C) MODEL OF MICRO-BASED EXCHANGE RATE FORECASTING 119 4.3.1 THEORETICAL BACKGROUND 122 4.3.2 COMPARING MODEIS RELATIVE FORECASTING PERFORMANCES 129 4.3.3 EMPIRICAL RESULTS 133 4.4 IS SPECULATION PROFITABLE IN FX MARKETS? 141 4.4.1 BASIC ASPECTS OF ANALYSING PROFITS FROM SPECULATIVE TRADING IN FX MARKETS 142 4.4.2 EMPIRICAL EVIDENCE 145 4.4.3 CONCLUDING REMARKS ON PROFITABILITY OF SPECULATIVE TRADING 152 4.5 IS INFORMATION GOVERNING MARKET MAKERS PRICING BEHAVIOUR - SOME INTERIM REMARKS 152 APPENDIX TO CHAPTER 4 A.4.1 DERIVATION OF EQUATION (4.6) 155 A.4.2 DERIVATION OF EQUATION (4.11.2) 156 IX A.4.3 WHAT IS GOVERNING DEVIATIONS BETWEEN EXPECTED AND ACTUAL VALUESOFFT? 158 A.4.4 DERIVING FORECASTING EQUATION (4.14) 159 5. MARKET POWER AND FX PRICING BEHAVIOUR 165 5.1 SOME BASIC REMARKS 166 5.2 GREEN ET AL. S (2007) MODEL OF MARKET POWER AND ASSET PRICING 170 5.3 EMPIRICAL EVIDENCE 178 5.4 INTERIM CONCLUSION 183 APPENDIX TO CHAPTER 5 A.5.1 ALTERNATING OFFER GAMES WITH RISK OF BREAKDOWN - AN OVERVIEW 185 A.5.2 DERIVATION OF EQUATION (5.5) 187 A.5.3 DERIVATION OF EQUATION (5.6) 1 88 6. CONCLUSION 189 ANNEX - AN INTRODUCTION TO IMPORTANT ECONOMETRIC CONCEPTS (A)1. GENERALISED METHOD OF MOMENTS 197 (A)2. COINTEGRATION AND ERROR CORRECTION 204 (A)3. STOCHASTIC FRONTIER ANALYSIS 215 REFERENCES 217
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author	Schmidt, Markus A.
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dewey-tens	330 - Economics
discipline	Wirtschaftswissenschaften
format	Thesis Book
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indexdate	2024-12-20T13:20:50Z
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isbn	9783631579282
language	English
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physical	XI, 244 S. graph. Darst. 21 cm
publishDate	2008
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series	Studien zu internationalen Wirtschaftsbeziehungen
series2	Studien zu internationalen Wirtschaftsbeziehungen
spellingShingle	Schmidt, Markus A. Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates Studien zu internationalen Wirtschaftsbeziehungen Devisenmarkt (DE-588)4139011-8 gnd Asymmetrische Information (DE-588)4120934-5 gnd Wechselkurs (DE-588)4064921-0 gnd
subject_GND	(DE-588)4139011-8 (DE-588)4120934-5 (DE-588)4064921-0 (DE-588)4113937-9
title	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates
title_auth	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates
title_exact_search	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates
title_full	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates Markus A. Schmidt
title_fullStr	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates Markus A. Schmidt
title_full_unstemmed	Information or market power what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates Markus A. Schmidt
title_short	Information or market power
title_sort	information or market power what is governing dealers pricing behaviour in fx markets an investigation in the spirit of the microstructure approach to exchange rates
title_sub	what is governing dealers' pricing behaviour in FX markets? ; an investigation in the spirit of the microstructure approach to exchange rates
topic	Devisenmarkt (DE-588)4139011-8 gnd Asymmetrische Information (DE-588)4120934-5 gnd Wechselkurs (DE-588)4064921-0 gnd
topic_facet	Devisenmarkt Asymmetrische Information Wechselkurs Hochschulschrift
url	http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=016794549&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA
volume_link	(DE-604)BV014252401
work_keys_str_mv	AT schmidtmarkusa informationormarketpowerwhatisgoverningdealerspricingbehaviourinfxmarketsaninvestigationinthespiritofthemicrostructureapproachtoexchangerates

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