Market making in the interbank foreign exchange market
Jian Yao, Salomon Brothers Center for the Study of Financial Institutions, Leonard N. Stern School of Business
Salomon Brothers Center for the Study of Financial Institutions, Leonard N. Stern School of Business, New York University, 1998 - Business & Economics
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$10 million 25-day sample period accumulating active trades asymmetric information bank baseline spreads bid-ask spread brokered trades buy order coefficient estimate counterparty customer order flow customer trades dataset dealer trades dealership market decumulating descriptive statistics DM dealer DM/US Financial Economics foreign exchange market FX dealer FX value Greenwich Mean Hasbrouck incoming passive trade indicator variable initial inter-dealer trades interbank FX market internal intraday inventory control inventory innovation inventory shocks Journal of Financial lagged low market transparency Lyons Madhavan and Smidt market maker market making behavior market microstructure Matthew Richardson median number of trades NYSE outgoing trades position prevailing quotes price change price impacts private information quote shading Reuters direct trade Reuters incoming trades shade quotes significant source of asymmetric statistics time-stamped total number trade blotters trade innovation trade quantity trade volume trading days trading profits transaction price types of trades YORK UNIVERSITY