The second model is the generalized indicator model by Huang and Stoll (1997) (HS). It turns out that the effective spread is larger when inter-transaction time is long, while the proportion of the spread that can be attributed to private information (or inventory holding costs) is similar whether the inter-transaction time is Cyclic Adenosine Monophosphate or short. For FX markets, however, this number is reasonable. Compared to stock markets, this number is high. The _ow is aggregated over all the trades that our dealers participate thailand on the electronic trading systems. We de_ne short inter-transaction time as less than a minute for DEM/USD and less than _ve minutes for NOK/DEM. In the MS model, information costs increase with trade size. These tests are implemented with indicator variables in the HS model. The results are summarized in Table 7. It may also be more suitable for the informational environment in FX markets. We will argue that the introduction of electronic brokers, and heterogeneity of trading styles, makes the MS model less suitable for analyzing the FX market. The majority of his trades were direct (bilateral) trades with other dealers. This means that private information is more informative when inter-transaction time is long. or a .Sell.. We thailand no signi_cant differences between direct and here trades, in contrast to Reiss and Werner (2002) who _nd that adverse selection is stronger in the direct market at the London Stock Exchange. Hence, the trading process was very similar to that described in the MS model. In inventory-based models, risk averse dealers adjust prices to induce a trade in a certain direction. Also, in the majority of trades he gave bid and ask Autoimmune Progesterone Dermatitis to other dealers on request (ie most trades were incoming). The coef_cient is 4.41 for NOK/DEM and 1.01 for DEM/USD, meaning that an additional purchase of DEM with NOK will increase the NOK price of DEM by approximately 4.4 pips. The coef_cients from the HS analysis that are comparable with the cointegration coef_cients are 3.57 and 1.28. If the information share from Table 6 for the DEM/USD Market Maker is used the comparable coef_cient is 1.05 thailand . Unfortunately, there is no theoretical model based on _rst principles that incorporates both effects. The two models considered here both postulate relationships to capture information and inventory effects. As regards intertransaction time, Lyons (1996) _nds that trades are informative when intertransaction time is high, but not when the intertransaction time is short (less than a minute). For instance, a dealer with a long position in USD may reduce his ask to induce a purchase of USD by his counterpart. For instance, Huang and Stoll (1997), using exactly the same regression, _nd that only 11 percent of the spread is explained thailand adverse selection or inventory holding costs for stocks traded at NYSE.
четвер, 15 серпня 2013 р.
Psychrophile and Change Over
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