Modelling the Gilt Edged Market.
نویسندگان
چکیده
منابع مشابه
An application of generalized Vasicek term structure models to the UK gilt-edged market: a Kalman filtering analysis
Oneand two-factor models of the term structure of interest rates analysed by Babbs and Nowman are applied to the UK gilt-edged market. The two factors are identified with shortand long-term economic ‘news’ streams which may be correlated and effect the yield curve. Examples of short-term economic ‘news’ may include ‘rumours’ of interest rate decisions from the new Monetary Policy Committee of t...
متن کاملThe Value of Introducing Structural Reform to Improve Bond Market Liquidity: Experience from the U.k. Gilt Market
The importance of maintaining sufficient liquidity in financial markets is emphasised strongly in the academic literature. During the 1990s the United Kingdom monetary authorities introduced a number of structural reforms in the government bond market, aimed at improving secondary market liquidity. In this paper we examine the impact of the reforms by attempting to ascertain if liquidity levels...
متن کاملFractional versus decimal pricing: Evidence from the UK Long Gilt futures market
This paper analyses the impact of a move from fractional to decimal pricing in the UK Long Gilt futures market. The reduced tick size following decimalisation leads to an increase in price clustering. The bid-ask spread, measured in ticks, increases following the tick size reduction. However, due to a reduced tick value, the monetary value of the spread declines. There is a substantial reductio...
متن کاملModelling an Imperfect Market
We propose a simple market model where agents trade different types of products with each other by using money, relying only on local information. Value fluctuations of single products, combined with the condition of maximum profit in transactions, readily lead to persistent fluctuations in the wealth of individual agents.
متن کاملStatistical Modelling in Market Research
1. Direct simulation models. These are specialized models based on attempts to directly imitate the market (for example, via the behaviour of individual customers) using a synergy of stochastic and deterministic rules. These models were popular 20-30 years ago but are less popular now. The reasons are the lack of predictive power, huge number of parameters in the models and impossibility of the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of the Staple Inn Actuarial Society
سال: 1984
ISSN: 0020-269X,0020-269X
DOI: 10.1017/s0020269x0000966x