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dc.contributor.authorDwyer, Gregory James
dc.date.accessioned2009-02-26T03:24:18Z
dc.date.available2009-02-26T03:24:18Z
dc.date.issued2009-02-26T03:24:18Z
dc.identifier.urihttp://hdl.handle.net/2123/4076
dc.description.abstractThis paper studies the effects superiorly informed market makers have on the price formation process. Two models are developed in which the market maker receives some informative signal. In one version, the market maker receives an informative signal at the start of the day with which he assigns a probability to its correctness. In the other version, the market maker receives a fully informative signal at some random time throughout the day. By comparing the models to the Glosten and Milgrom (1985) model, it is shown that informed market makers are able to improve certain dimensions of market quality. Prices become more reflective of their true value, price discovery is enhanced, and trading costs for uninformed traders are decreased. These benefits to the market are further demonstrated through the development of simulations of the theoretical models.en
dc.language.isoenen
dc.rightsThe author retains copyright of this thesis
dc.subjectThe Dynamics of Bid and Ask Quotes Set by a Heterogeneously Informed Market Makeren
dc.titleThe Dynamics of Bid and Ask Quotes Set by a Heterogeneously Informed Market Makeren
dc.typeThesis, Honoursen
dc.contributor.departmentDiscipline of Financeen


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