Just another day in the inter-bank foreign exchange market

• 成果类型: Article
• 署名作者: Chakrabarti, R
• 署名单位: University of Alberta
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(99)00058-6
• 发表日期: 2000
• 页码: 29-64
• 关键词: agent based model; Foreign exchange; microstructure

摘要

In this paper, I develop a theory of bid-ask quotes provided by foreign exchange dealers in the inter-bank market based on their beliefs and their inventory positions. I then build an agent-based model of the inter-dealer market where dealers learn in a Bayesian manner from quotes from other dealers. Using simulations, I find that the resulting intra-day spreads and between-quote returns largely conform to the empirically observed intra-day U-shaped pattern - a feature that has not been satisfactorily explained in the literature. I also study the factors that determine this U-shape. (C) 2000 Elsevier Science S.A. All rights reserved. JEL classification: D83; F31.