Improved Methods for Obtaining Information from Distributed Dealer Markets

14 Pages Posted: 21 Sep 1998

See all articles by Ajay Shah

Ajay Shah

Indira Gandhi Institute of Development Research (IGIDR)

Date Written: September 4, 1998

Abstract

Prices and liquidity on distributed dealer markets are known to market participants but not to external observers. Hence, the strategy of polling "n" respondents, coupled with data reduction using a robust location estimator, has been widely employed, especially in the context of cash-settled futures contracts.

In this paper, we offer a market microstructure interpretation of the information obtained by polling, and propose improvements for many elements of the polling process. The choice of estimator in this context reflects a tradeoff between statistical efficiency and vulnerability to manipulation. We offer empirical evidence, based on polling in India's call money market, about this tradeoff. The results suggest that the adaptive trimmed mean (ATM) has advantages over the fixed trimming procedures presently used by futures exchanges.

JEL Classification: G13, G14, G15

Suggested Citation

Shah, Ajay, Improved Methods for Obtaining Information from Distributed Dealer Markets (September 4, 1998). Available at SSRN: https://ssrn.com/abstract=124568 or http://dx.doi.org/10.2139/ssrn.124568

Ajay Shah (Contact Author)

Indira Gandhi Institute of Development Research (IGIDR) ( email )

Gen A.K. Vaidya Marg Santoshnagar
Goregaon (East)
Bombay 400065, Maharashtra
India
+91-22-8400919 (Phone)
+91-22-8402752 (Fax)

Register to save articles to
your library

Register

Paper statistics

Downloads
139
Abstract Views
1,306
rank
211,730
PlumX Metrics