Date of Degree

2-2021

Document Type

Dissertation

Degree Name

Ph.D.

Program

Economics

Advisor

Christos I. Giannikos

Committee Members

Terence Agbeyegbe

Yochanan Shachmurove

Subject Categories

Finance

Keywords

Adjacency matrix, hierarchical probability model, hamiltonian monte-carlo, information asymmetry, private information, interdealer trading network, bayesian inference, over-the-counter market

Abstract

This research studies a network of interdealer trading in Over-The-Counter (OTC) Financial Markets. It reviews a model of OTC interdealer trading, extends this model for suitable application to empirical studies of trading in dealer networks within OTC markets, and ultimately develops a methodology for estimating the endogenous network parameters. Finally, it applies the methodology to conduct an empirical study of the Municipal bonds market.

Included in

Finance Commons

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