In den letzten Jahren ist der Handel in Zinsderivaten, vor allem Zinsterminkontrakten und Zinsswaps, rasch gewachsen. Für die Banken, die den Handel von Zinsderivaten in erster Linie tragen, folgt daraus ein erhebliches Risiko. Dieses hat in jüngster Zeit immer wieder zu Befürchtungen...

We analyze how markets adjust to new information when the reliability of news is uncertain and has to be estimated itself. We propose a Bayesian learning model where market participants receive fundamental information along with noisy estimates of news' precision. It is shown that the efficiency...

We study the impact of the arrival of macroeconomic news on the informational and noise-driven components in high-frequency quote processes and their conditional variances. We decompose bid and ask returns into a common ("efficient return") factor and two market-side-specific components...