外汇市场做市商定价行为研究——外汇市场微观结构理论综述  

Research on FX market-makers’pricing behavior——Review of theories on market micro-Structure

作　　者：曾芳琴[1] 

机构地区：[1]《中国货币市场》记者

出　　处：《中国货币市场》2007年第11期18-21,共4页China Money

摘　　要：该文从外汇市场微观结构理论的基本概念出发,简要介绍了外汇市场微观结构分析方法的原理及其理论模型的建设,分析了外汇市场上的分散信息如何通过指令流影响外汇市场做市商的报价,并最终影响即期汇率的走势;众多实证研究的结果表明做市商间的指令流能够解释日内即期汇率的变动,且对即期汇率的影响具有持久性。Starting from theories on FX market micro-structure, this paper throws light on the principles of analyzing methods concerning FX market micro-structure and the building of their theoretical models. The author analyzes how diverse information in the FX market, via flow of orders, influences market-makers＇ quotations and trends of the spot exchange rate. Many empirical studies prove that the flow of orders among market-makers can explain intraday changes in the spot exchange rate and has lasting influence on spot rates.

关 键 词：做市商 定价 微观结构 即期汇率 

分 类 号：F830.92[经济管理—金融学]