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Essays on market making in the interbank foreign exchange market.

机译：银行间外汇市场做市散文。

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摘要

This thesis examines foreign exchange (FX) dealers' market making behavior in the world's most active financial market.;The thesis consists of three essays. The central themes are the FX dealer's pricing and trading strategies in response to the unique FX market structure. The rich dataset allows for examining the central themes from various angles. The first essay studies the market making behavior of FX dealers who are subject to adverse selection arising from private information, and who have to manage inventory shocks from order flows. I first apply a standard microstructure model which integrates both information and inventory effects to examine incoming and outgoing trades. I do not find evidence of quote-shading as a tool for inventory control in inter-dealer trades. This is consistent with the view that a FX dealer with customer order flow has substantial private information, and is unlikely to shade quotes to avoid revealing such information. The FX dealer instead lays off undesired inventories through active outgoing trades at other dealers' quotes. Price impacts of such outgoing trades are minimized because the great depth and low transparency of this market, together with the electronic dealing systems, allow a dealer to search effectively for the best prices. A dynamic statistical analysis reveals significant lagged price impacts of order flows, and indicates that the FX dealer strategically delays quote revision to take advantage of low market transparency while working off inventory shocks.;The second essay studies the FX dealer's trading profits and market making costs which are an important element in shaping a dealer's trading strategies. I find that my DM/;The third essay investigates the price impacts associated with large currency trades. Such price impacts representing trading costs in addition to the usual bid-ask spreads are closely related to trade volume, liquidity and other market structure characteristics. The results on the magnitude as well as the dynamics of price impacts, such as the lack of temporary price rebound and the slow price adjustment process, highlight the significant market structure difference between the currency and equity markets. There is also evidence of a linear relationship between price impact and trade size. (Abstract shortened by UMI.)
机译：本文研究了外汇交易商在世界上最活跃的金融市场中的做市行为。论文包括三篇论文。中心主题是外汇交易商针对独特外汇市场结构的定价和交易策略。丰富的数据集允许从各个角度检查中心主题。第一篇文章研究了外汇交易商的做市行为，这些交易商会因私人信息而受到不利选择，并且必须应对订单流带来的库存冲击。我首先应用一个标准的微观结构模型，该模型集成了信息和库存效应，以检查进出交易。我没有找到报价阴影作为交易员间贸易中库存控制工具的证据。这与具有客户订单流的外汇交易商拥有大量私人信息的观点相一致，并且不太可能为报价加上阴影以避免泄露此类信息。相反，外汇交易商通过按其他交易商的报价进行活跃的外向交易来裁员不希望的库存。由于该市场的深度和低透明度以及电子交易系统使交易商可以有效地搜索最佳价格，因此将这种外向交易的价格影响最小化。动态统计分析揭示了订单流的重大滞后价格影响，并表明外汇交易商从战略上推迟了报价修订，以利用较低的市场透明度，同时消除库存冲击。第二篇文章研究了外汇交易商的交易利润和做市成本。这是塑造经销商交易策略的重要元素。我发现我的DM /;第三篇文章调查了与大型货币交易相关的价格影响。除通常的买卖差价外，这种代表交易成本的价格影响与交易量，流动性和其他市场结构特征密切相关。价格影响的大小和动态的结果，例如缺乏临时的价格反弹和缓慢的价格调整过程，突出了货币市场和股票市场之间的显着市场结构差异。也有证据表明价格影响和交易规模之间存在线性关系。 （摘要由UMI缩短。）

著录项

  • 作者

    Yao, Jian.;

  • 作者单位

    New York University, Graduate School of Business Administration.;

  • 授予单位 New York University, Graduate School of Business Administration.;
  • 学科 Economics General.;Economics Finance.;Business Administration Banking.
  • 学位 Ph.D.
  • 年度 1997
  • 页码 143 p.
  • 总页数 143
  • 原文格式 PDF
  • 正文语种 eng
  • 中图分类 经济学;财政、金融;金融、银行;
  • 关键词

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