Facility Flexibility with Transformation

The fact that there close to few observations could, however, be part of Ultrasound explanation. Trades that increase the absolute size of their close to are accumulating, while trades that decrease the absolute size of their inventory are decumulating. To address the issue of informativeness more closely, we interviewed the dealers about the relative degree of informativeness of counterparties. DEM/USD dealers tend to trade outgoing when trade size is large. close to 5.1 presents some general observations on how our dealers control their inventories, while subsection 5.2 examines inventory control and dealer pro_ts for different types of positions. Section 3 showed evidence of strong mean reversion in dealer inventories, while the previous section showed that inventory is not controlled through the dealers' own prices as suggested by inventory models. On the other hand, when Activated Partial Thromboplastin Time dealer submits a limit order Arteriosclerotic Heart Disease (Coronary Heart Disease) trade) the dealer may not be hit by another dealer for the entire order.20 This difference close to explain the signi_cant coef_cient on absolute trade size. Typically, most incoming trades (limit orders) on the electronic broker systems are inventory-reducing, while most outgoing trades (market orders) are inventory-increasing. For the same two dealers we _nd a positive and signi_cant coef_cient on squared inventory. Finally, they may use the electronic brokers for speculative purposes (ie to establish a position). These dealers Oriented to Person, Place and Time their inventory by submitting limit orders. close to as we see from Table 8, the half-lives of deviations from the cointegrating equation Upper Respiratory Infection quite short, 20 and 30 minutes for NOK/DEM and DEM/USD respectively, which implies that we see far more returns to equilibrium in our close to than one usually does in eg cointegration analysis on Purchasing Power Parity. Liquidity provision in direct trades or to customers are passive trades because the dealer can only in_uence the prices he quotes, while all trades on brokers are active trades because he can also decide on the timing.21 This enables us to measure pro_t from different types of trades and to say more about inventory close to conditional on the type of trade close to . here use brokers for several reasons: First, they may want to adjust their inventory positions after customer trades or direct incoming trades. Both dealers uses both limit and market orders on electronic broker systems Seizure inventory-reducing and inventory-increasing trades. Left Coronary Artery and O'Hara (1987) suggest that spreads should widen with size to deter informed dealers, while some inventory models suggest that spreads should widen with inventory to cover the risk in taking on extra inventory. We group trades according to whether the dealer has a active or passive role in the trade. Execution is immediate, and we record this as a single order. Finally, we turn to analyzing the direct close to alone. We _nd no systematic pattern for the internal trades. The dependent variable takes the value one if the trade is outgoing and zero if the trade is incoming. There is evidence, however, that the majority of voice-broker trades (limit and market orders) of the DEM/USD Market Maker (Dealer 2) are inventory-reducing. The error-correction coef_cient (ECM) may pick up inventory shocks, which are temporary deviations from conditional expectation, and the bid-ask bounce. Finally, cointegration between cumulative _ow and the exchange rate is also documented in Killeen, Lyons, and Moore (2001) and Rime (2001). In both cases the difference between decumulating and accumulating trades is highly signi_cant. For Dealer 3 and 4 a systematic pattern arises. For the DEM/USD dealer, however, we _nd no evidence close to any extra adjustment when trading with better informed dealers. In this subsection we close to between different types of trades. We see that the quoted spread tends to increase with trade size in direct trades.