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‘Noise-trader risk’ and Bayesian market making in FX derivatives: rolling loaded dice?

✍ Scribed by Carlos A. Ulibarri; Peter C. Anselmo; Karen Hovsepian; Jacob Tolk; Ionut Florescu


Book ID
102278278
Publisher
John Wiley and Sons
Year
2009
Tongue
English
Weight
37 KB
Volume
14
Category
Article
ISSN
1076-9307

No coin nor oath required. For personal study only.

✦ Synopsis


Abstract

The above article (DOI: 10.1002/ijfe.373) was published online in Early View on 25 July 2008.

On page 1 of the initial online publication of this article, the third author's surname was incorrectly spelled.

The correct spelling should be: KAREN HOVSEPIAN.


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‘Noise-trader risk’ and Bayesian market
✍ Carlos A. Ulibarri; Peter C. Anselmo; Karen Hovespian; Jacob Tolk; Ionut Floresc 📂 Article 📅 2009 🏛 John Wiley and Sons 🌐 English ⚖ 160 KB

## Abstract This paper develops and simulates a model of a Bayesian market maker who transacts with noise and position traders in derivative markets. The impact of noise trading is examined relative to price determination in FX futures, noise transmission from futures to options, and risk‐managemen