On the rigid body behavior of foreign exchange markets
β Scribed by Lorenzo Matassini
- Book ID
- 108450115
- Publisher
- Elsevier Science
- Year
- 2002
- Tongue
- English
- Weight
- 145 KB
- Volume
- 308
- Category
- Article
- ISSN
- 0378-4371
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
## Abstract We provide a detailed, upβtoβdate description of the microstructure of the foreign exchange market and of the behaviour of participant groups. In the light of this, we highlight shortcomings in existing theoretical models of market interaction and present an outline alternative model th
A large empirical literature has tested the unbiasedness hypothesis in the foreign-exchange market with the use of forward exchange rates. This article amends the conventional testing framework to exploit the information in currency options, with a newly constructed data set for three major dollar e
We introduce a deterministic dealer model which implements most of the empirical laws, such as fat tails in the price change distributions, autocorrelation of price change and non-Poissonian intervals. We also clarify the causality between microscopic dealers' dynamics and macroscopic market's empir