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

  • 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)

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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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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  1. Flood, Mark D., 1994. "Market structure and inefficiency in the foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 13(2), pages 131-158, April.
  2. Silber, William L, 1984. " Marketmaker Behavior in an Auction Market: An Analysis of Scalpers in Futures Markets," Journal of Finance, American Finance Association, vol. 39(4), pages 937-53, September.
  3. Madhavan, A. & Smidt, S., 1991. "A Baysian Model of Intraday Specialist Pricing," Weiss Center Working Papers 2-91, Wharton School - Weiss Center for International Financial Research.
  4. Amihud, Yakov & Mendelson, Haim, 1980. "Dealership market : Market-making with inventory," Journal of Financial Economics, Elsevier, vol. 8(1), pages 31-53, March.
  5. Andrei Shleifer ad Robert W. Vishny, 1995. "The Limits of Arbitrage," Harvard Institute of Economic Research Working Papers 1725, Harvard - Institute of Economic Research.
  6. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann,, . "The Survival of Noise Traders in Financial Markets," J. Bradford De Long's Working Papers _123, University of California at Berkeley, Economics Department.
  7. Bhattacharya, Mihir, 1983. "Transactions data tests of efficiency of the Chicago board options exchange," Journal of Financial Economics, Elsevier, vol. 12(2), pages 161-185, August.
  8. 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.
  9. Galai, Dan, 1978. "Empirical tests of boundary conditions for CBOE options," Journal of Financial Economics, Elsevier, vol. 6(2-3), pages 187-211.
  10. 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.
  11. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
  12. Glosten, Lawrence R. & Milgrom, Paul R., 1985. "Bid, ask and transaction prices in a specialist market with heterogeneously informed traders," Journal of Financial Economics, Elsevier, vol. 14(1), pages 71-100, March.
  13. Fama, Eugene F, 1991. " Efficient Capital Markets: II," Journal of Finance, American Finance Association, vol. 46(5), pages 1575-617, December.
  14. 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.
  15. 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.
  16. Richard K. Lyons, 1991. "Private Beliefs and Information Externalities in the Foreign Exchange Market," NBER Working Papers 3889, National Bureau of Economic Research, Inc.
  17. Richard K. Lyons, 1993. "Tests of Microstructural Hypotheses in the Foreign Exchange Market," NBER Working Papers 4471, National Bureau of Economic Research, Inc.
  18. Lyons, Richard K., 1998. "Profits and position control: a week of FX dealing1," Journal of International Money and Finance, Elsevier, vol. 17(1), pages 97-115, February.
  19. Shleifer, Andrei, 2000. "Inefficient Markets: An Introduction to Behavioral Finance," OUP Catalogue, Oxford University Press, number 9780198292272, March.
  20. 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.
  21. Bessembinder, Hendrik & Chan, Kalok & Seguin, Paul J., 1996. "An empirical examination of information, differences of opinion, and trading activity," Journal of Financial Economics, Elsevier, vol. 40(1), pages 105-134, January.
  22. 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.
  23. Bollerslev, Tim & Domowitz, Ian, 1993. " Trading Patterns and Prices in the Interbank Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 48(4), pages 1421-43, September.
  24. Richard K. Lyons., 1995. "Foreign Exchange Volume: Sound and Fury Signifying Nothing?," Research Program in Finance Working Papers RPF-243, University of California at Berkeley.
  25. 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.
  26. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November.
  27. 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.
  28. Garman, Mark B., 1976. "Market microstructure," Journal of Financial Economics, Elsevier, vol. 3(3), pages 257-275, June.
  29. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, vol. 25(2), pages 383-417, May.
  30. Bodurtha, James N, Jr & Courtadon, Georges R, 1986. " Efficiency Tests of the Foreign Currency Options Market," Journal of Finance, American Finance Association, vol. 41(1), pages 151-62, March.
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