Date of Degree
Christos I. Giannikos
Adjacency matrix, hierarchical probability model, hamiltonian monte-carlo, information asymmetry, private information, interdealer trading network, bayesian inference, over-the-counter market
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.
Kyei-Fordjour, Richmond, "Dealer Networks in Over-The-Counter (OTC) Financial Markets" (2021). CUNY Academic Works.