Gespeichert in:
| Titel: | 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 |
|---|---|
| Von: |
Markus A. Schmidt
|
| Person: |
Schmidt, Markus A.
Verfasser aut |
| Hauptverfasser: | |
| Format: | Hochschulschrift/Dissertation Buch |
| Sprache: | Englisch |
| Veröffentlicht: |
Frankfurt am Main [u.a.]
Lang
2008
|
| Schriftenreihe: | Studien zu internationalen Wirtschaftsbeziehungen
13 |
| Notation: | QM 331 |
| Schlagwörter: | |
| Medienzugang: | 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 |
| Umfang: | XI, 244 S. graph. Darst. 21 cm |
| ISBN: | 9783631579282 |
Internformat
MARC
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Datensatz im Suchindex
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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
|
| any_adam_object | 1 |
| author | Schmidt, Markus A. |
| author_facet | Schmidt, Markus A. |
| author_role | aut |
| author_sort | Schmidt, Markus A. |
| author_variant | m a s ma mas |
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| bvnumber | BV035126977 |
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| ctrlnum | (OCoLC)244628213 (DE-599)DNB989530582 |
| dewey-full | 332.45 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.45 |
| dewey-search | 332.45 |
| dewey-sort | 3332.45 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre_facet | Hochschulschrift |
| id | DE-604.BV035126977 |
| illustrated | Illustrated |
| indexdate | 2024-12-20T13:20:50Z |
| institution | BVB |
| isbn | 9783631579282 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-016794549 |
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| owner_facet | DE-N2 DE-384 |
| physical | XI, 244 S. graph. Darst. 21 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Lang |
| record_format | marc |
| 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 |
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| volume_link | (DE-604)BV014252401 |
| work_keys_str_mv | AT schmidtmarkusa informationormarketpowerwhatisgoverningdealerspricingbehaviourinfxmarketsaninvestigationinthespiritofthemicrostructureapproachtoexchangerates |