Narrow search
Showing 1 - 10 of 10
Cover Image
The New York foreign exchange market
Holmes, Alan R. - 1960 - 2. pr
Persistent link: https://www.econbiz.de/10002879456
Cover Image
Inference, arbitrage, and asset price volatility
Adrian, Tobias (contributor) - 2004 - [Elektronische Ressource], Rev. February 2008
, informed investors, and noise traders. Arbitrageurs face a trade-off between arbitrage and inference: they would like to buy … assets in response to temporary price declines (the arbitrage effect) but sell when prices decline permanently (the inference … effect). In equilibrium, the presence of arbitrageurs increases volatility when the inference effect dominates the arbitrage …
Persistent link: https://www.econbiz.de/10002101431
Cover Image
The impact of stock index arbitrage on equity markets - theory and evidence
Bhatt, Swati - Federal Reserve Bank of New York - 1987
Persistent link: https://www.econbiz.de/10005717216
Cover Image
Empirical evaluation of asset pricing models: arbitrage and pricing errors over contingent claims
Wang, Zhenyu; Zhang, Xiaoyan - Federal Reserve Bank of New York - 2006
negative and thus offer arbitrage opportunities. …
Persistent link: https://www.econbiz.de/10005526320
Cover Image
Inference, arbitrage, and asset price volatility
Adrian, Tobias - Federal Reserve Bank of New York - 2004
This paper models the impact of arbitrageurs on stock prices when arbitrageurs are uncertain about the drift of the dividend process of a risky asset. Under perfect information, the presence of risk-neutral arbitrageurs unambiguously reduces the volatility of asset returns. When arbitrageurs are...
Persistent link: https://www.econbiz.de/10005420543
Cover Image
Summary of results of US foreign exchange market survey : conducted in April 1989
1989
Persistent link: https://www.econbiz.de/10000143832
Cover Image
The New York foreign exchange market
Holmes, Alan R. (contributor);  … - Federal Reserve Bank of New York - 1965
Persistent link: https://www.econbiz.de/10000325020
Cover Image
Stop-loss orders and price cascades in currency markets
Osler, Carol (contributor) - 2002 - [Elektronische Ressource]
In this paper, I provide evidence that currency stop-loss orders contribute to rapid, self-reinforcing price movements, or "price cascades". Stop-loss orders, which instruct a dealer to buy (sell) a certain amount of currency at the market rate once the rate has risen (fallen) to a prespecified...
Persistent link: https://www.econbiz.de/10001682513
Cover Image
Currency orders and exchange-rate dynamics : explaining the success of technical analysis
Osler, Carol (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001591409