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'Noise-trader risk' and Bayesian market making in FX derivatives: rolling loaded dice?

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Author Info

  • Carlos A. Ulibarri

    (Department of Management, New Mexico Institute of Mining and Technology, USA)

  • Peter C. Anselmo

    (Department of Management, New Mexico Institute of Mining and Technology, USA)

  • Karen Hovsepian

    (Department of Management, New Mexico Institute of Mining and Technology, USA)

  • Jacob Tolk

    (Department of Management, New Mexico Institute of Mining and Technology, USA)

  • Ionut Florescu

    (Department of Mathematical Sciences, Stevens Institute of Technology, USA)

Abstract

The above article (DOI: 10.1002|ijfe.373 ) was published online in Early View on 25 July 2008. On page 1 of the initial online publication of this article, the third author's surname was incorrectly spelled. The correct spelling should be: KAREN HOVSEPIAN.

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Bibliographic Info

Article provided by John Wiley & Sons, Ltd. in its journal International Journal of Finance & Economics.

Volume (Year): 14 (2009)
Issue (Month): 3 ()
Pages: i-i

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Handle: RePEc:ijf:ijfiec:v:14:y:2009:i:3:p:i-i

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References

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  1. Lawrence R. Glosten & Paul R. Milgrom, 1983. "Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders," Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 570, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  2. Richard K. Lyons, 1996. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," NBER Chapters, in: The Microstructure of Foreign Exchange Markets, pages 183-208 National Bureau of Economic Research, Inc.
  3. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  4. Ananth Madhavan & Seymour Smidt, . "A Bayesian Model of Intraday Specialist Pricing," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research 02-91, Wharton School Rodney L. White Center for Financial Research.
  5. De Long, J Bradford, et al, 1991. "The Survival of Noise Traders in Financial Markets," The Journal of Business, University of Chicago Press, vol. 64(1), pages 1-19, January.
  6. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, Elsevier, vol. 40(1), pages 105-134, January.
  7. Lyons, R.K., 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," Papers 91-17, Columbia - Graduate School of Business.
  8. Haltiwanger, John & Waldman, Michael, 1985. "Rational Expectations and the Limits of Rationality: An Analysis of Heterogeneity," American Economic Review, American Economic Association, vol. 75(3), pages 326-40, June.
  9. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(1-2), pages 167-179.
  10. Shastri, Kuldeep & Tandon, Kishore, 1986. "An Empirical Test of a Valuation Model for American Options on Futures Contracts," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(04), pages 377-392, December.
  11. Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, Elsevier, vol. 17(1), pages 97-115, February.
  12. Shastri, Kuldeep & Tandon, Kishore, 1986. "Valuation of Foreign Currency Options: Some Empirical Tests," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(02), pages 145-160, June.
  13. Richard K. Lyons., 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," Research Program in Finance Working Papers, University of California at Berkeley RPF-230, University of California at Berkeley.
  14. Shleifer, Andrei & Vishny, Robert W, 1997. " The Limits of Arbitrage," Journal of Finance, American Finance Association, American Finance Association, vol. 52(1), pages 35-55, March.
  15. Russell, Thomas & Thaler, Richard, 1985. "The Relevance of Quasi Rationality in Competitive Markets," American Economic Review, American Economic Association, vol. 75(5), pages 1071-82, December.
  16. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, Oxford University Press, number 9780198292272, October.
  17. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, Econometric Society, vol. 53(6), pages 1315-35, November.
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  19. Bodurtha, James N, Jr & Courtadon, Georges R, 1986. " Efficiency Tests of the Foreign Currency Options Market," Journal of Finance, American Finance Association, American Finance Association, vol. 41(1), pages 151-62, March.
  20. Flood, Mark D., 1994. "Market structure and inefficiency in the foreign exchange market," Journal of International Money and Finance, Elsevier, Elsevier, vol. 13(2), pages 131-158, April.
  21. Bollerslev, Tim & Melvin, Michael, 1994. "Bid--ask spreads and volatility in the foreign exchange market : An empirical analysis," Journal of International Economics, Elsevier, vol. 36(3-4), pages 355-372, May.
  22. Galai, Dan, 1978. "Empirical tests of boundary conditions for CBOE options," Journal of Financial Economics, Elsevier, Elsevier, vol. 6(2-3), pages 187-211.
  23. Shleifer, Andrei & Summers, Lawrence H, 1990. "The Noise Trader Approach to Finance," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 19-33, Spring.
  24. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, Elsevier, vol. 8(1), pages 31-53, March.
  25. Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, Elsevier, vol. 3(3), pages 257-275, June.
  26. Silber, William L, 1984. " Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 39(4), pages 937-53, September.
  27. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
  28. Bhattacharya, Mihir, 1983. "Transactions data tests of efficiency of the Chicago board options exchange," Journal of Financial Economics, Elsevier, Elsevier, vol. 12(2), pages 161-185, August.
  29. Conroy, Robert M. & Winkler, Robert L., 1981. "Informational Differences Between Limit and Market Orders for a Market Maker," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 16(05), pages 703-724, December.
  30. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, American Finance Association, vol. 48(4), pages 1421-43, September.
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Cited by:
  1. Stan Miles, 2013. "Constant-collateral pyramiding trading strategies in futures markets," Financial Markets and Portfolio Management, Springer, Springer, vol. 27(4), pages 381-396, December.

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