Market-maker, inventory control and foreign exchange dynamics

DOI10.1088/1469-7688/3/5/302zbMath1405.91395OpenAlexW2143423378MaRDI QIDQ4647282

Frank H. Westerhoff

Publication date: 14 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/3/5/302

zbMATH Keywords

inventory managementexchange-rate dynamicsforeign exchange dealers

Mathematics Subject Classification ID

Trade models (91B60) Inventory, storage, reservoirs (90B05)

Related Items (3)

Fundamentalists, chartists and asset pricing anomalies ⋮ Heterogeneous fundamentalists and market maker inventories ⋮ A prototype model of speculative dynamics with position-based trading

Cites Work

• Heterogeneous beliefs and routes to chaos in a simple asset pricing model
• A Rational Route to Randomness
• HERD BEHAVIOR AND AGGREGATE FLUCTUATIONS IN FINANCIAL MARKETS
• VOLATILITY CLUSTERING IN FINANCIAL MARKETS: A MICROSIMULATION OF INTERACTING AGENTS
• Financial markets as nonlinear adaptive evolutionary systems
• Asset price and wealth dynamics under heterogeneous expectations
• A simulation analysis of the microstructure of double auction markets*

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