This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The benchmark model is used to calculate the intraday market outcomes if (i) large and small players as well...

This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The benchmark model is used to calculate the intraday market outcomes if (i) large and small players as well...

This paper presents an analytical benchmark model for national intraday adjustment needs under consideration of fundamental drivers, market concentration and portfolio internal netting. The benchmark model is used to calculate the intraday market outcomes if (i) large and small players as well...

This paper examines an intraday activity of bank trading of the EUR/PLN currency pair via the Reuters Dealing 3000 Spot Matching System in 2007. On the grounds of the sequential trade model of Easley, Engle, O’Hara & Wu (2008), we can differentiate between the time-varying patterns for the...