Bibliografie

(eng): We construct a continuous time model of an FX market organized as a multiple dealership, where all market users have costly access to best available quotes. They interpret signals from the joint dealer-customer order flow to form subjective estimates of the relevant risk factors. The latter are represented by returns on domestic and foreign assets and the size of the aggregate cross-border transactions in the FX market. An "order flow-adjusted" uncovered parity formula is derived for this market.

(cze): Je sestrojen model ve spojitem case pro devizovy trh organizovany ve decentralizovane podobe s nekolika dealery. Vsichni uzivatele tohoto trhu maji pristup k nejlepsim kotacim spojeny s nenulovymi naklady. Dealeri vyuzivaji signaly ohledne toku objednavek pro odvozeni subjektivnich odhadu relevantnich rizikovych faktoru. Posledne jmenovane se skladaji z vyonosu z tuzemskych a zahranicnich aktiv a objemu agregatnich preshranicnich forexovych transakci. Pro tento trh je odvozen vzorec typu nepokryte parity pro kurz zobecneny o clen zavisly na toku objednavek