The microstructure approach to exchange rates

著者

• Lyons, Richard K.

書誌事項

The microstructure approach to exchange rates

Richard K. Lyons

MIT Press, c2001

• : hbk
• : pbk

注記

Bibliography: p. [305]-323

Includes index

内容説明・目次

巻冊次

: hbk ISBN 9780262122436

内容説明

This book explains the puzzling behaviour of exchange rates using models from microstructure finance and data from electronic trading. Historically, the fields of exchange-rate economics and microstructure finance have progressed independently of each other. Recent interaction, however, has given rise to a microstructure approach to exchange rates. This book focuses on the economics of financial information and on how microstructure tools help to clarify the types of information most relevant to exchange rates. The microstructure approach views exchange rates from the perspective of the trading room, the place where exchange rates are actually determined. Emphasising information economics over institutional issues, the approach departs from three unrealistic assumptions common to previous approaches: that all information relevant to exchange rates is publicly available, that all market participants are alike in their goals or in how they view information, and that how trading is organised is inconsequential for exchange rates. The book shows how exchange-rate behaviour previously thought to be particularly puzzling can be explained using the microstructure approach. It contains a combination of theoretical and empirical work.

巻冊次

: pbk ISBN 9780262622059

内容説明

Historically, the fields of exchange-rate economics and microstructure finance have progressed independently of each other. Recent interaction, however, has given rise to a microstructure approach to exchange rates. This book focuses on the economics of financial information and how microstructure tools help to clarify the types of information most relevant to exchange rates. The microstructure approach views exchange rates from the perspective of the trading room, the place where exchange rates are actually determined. Emphasizing information economics over institutional issues, the approach departs from three unrealistic assumptions common to previous approaches: that all information relevant to exchange rates is publicly available, that all market participants are alike in their goals or in how they view information, and that how trading is organized is inconsequential for exchange rates. The book shows how exchange-rate behavior previously thought to be particularly puzzling can be explained using the microstructure approach. It contains a combination of theoretical and empirical work.

「Nielsen BookData」 より

詳細情報

• NII書誌ID(NCID): BA55503376
• ISBN:
  • 026212243X
  • 026262205X
• LCCN: 2001044337
• 出版国コード: us
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Cambridge, Mass.
• ページ数/冊数: xii, 333 p.
• 大きさ: 24 cm
• 件名:
  • LCSH : Foreign exchange rates -- Mathematical models.