Ulibarri, Carlos A.; Anselmo, Peter; Hovsepian, Karen; … - Volkswirtschaftliche Fakultät, … - 2008
traders in derivative markets. The impact of noise trading is examined relative to price determination in FX futures, noise … on the wrong side of the market. The pecuniary effects from this risk-management strategy suggest that noise trading … transmission from futures to options, and risk-management behaviour linking the two markets. The model simulations show noise …