Article2010

Inferring trading dynamics for an OTC market: the case of the euro area overnight money market

19 citations0/0 files storedQuantitative Finance

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Banking stability, regulation, efficiency Financial Markets and Investment Strategies Stochastic processes and financial applications

Abstract

The overnight money market is in essence the segment of the money market in which financial institutions fill their short-term liquidity needs. In the euro area, the overnight segment nevertheless ...

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1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1994Comparing Predictive Accuracy 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 2000Presidential Address: Friction 2007A network analysis of the Italian overnight money market 2005Equilibrium in a Dynamic Limit Order Market 2007Empirical Market Microstructure 1969The Evaluation of Economic Forecasts

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