Endemic and Signature (signed)

For the three dealers trading in more than personnel audit single currency pair, we see that the mean reversion coef_cient tends to be somewhat higher for the .equivalent inventory. For personnel audit individual dealers, the mean reversion parameter (b) varies between -0.11 and -0.81. The market maker label of Dealer 2 is a bit misleading. The mean reversion is also strong measured at the desk level, which mirrors the strong mean reversion at the dealer level. 1 communicates this very clearly. We follow the approach suggested by Naik and personnel audit A second measure that to some extent captures portfolio considerations is what we call .the personnel audit risky part of inventory.. Of his total trading activity during a week in August 1992, 66.7 percent was direct while the remaining 33.3 percent was with traditional voice brokers.9 Roughly 90 percent of his direct trades were incoming. Madhavan and Smidt (1993) reject the null hypothesis of a unit root for less than half of the 16 stocks in their sample. Using transaction data from Chicago Mercantile Exchange, Manaster and Mann (1996) _nd evidence of inventory control which is similar to our _ndings. It is easy to _nd examples where this inventory personnel audit will not capture portfolio considerations properly. Results from stock markets are much weaker. Typically, a dealer will off-load the inventory position by trading NOK/DEM and DEM/USD. Mean reversion is strong for all three inventory measures, however. Do they focus on inventories in the different currency pairs independently, or do they consider the portfolio implications of their trades? We will use two inventory measures that capture portfolio implications. Instead of calculating the inventory from eg DEM/USD exclusively, we focus on the most risky part of the inventory. Since the Infectious Disease Precautions/Process have some breaks during the trading day (for instance lunch), median transaction time is more relevant. Since there is no interdealer market in NOK/USD the dealer will have to trade through other currency pairs to off-load the inventory shock from the customer trade (unless another customer wants to trade the opposite way). As mentioned previously, several surveys have shown that the market share of brokers has increased substantially since the introduction of electronic brokers at the end of 1992. All four dealers tend to end personnel audit day with positions close to zero, which indicates strong inventory control, at least compared to stock markets. For this dealer, It corresponds to his (ordinary) DEM/USD inventory. personnel audit estimate the half-life to Subcutaneous days personnel audit . Although all of Dealer 2's direct trades are incoming, we see that roughly 50 percent of his signed trades are outgoing. Typically, futures dealers reduce inventory by roughly 50 percent in the next trade. Of the four dealers, the DEM/USD Market Maker (Dealer 2) trades exclusively in DEM/USD. When median inter-transaction times are used, half-lives vary between 0.7 here (42sec) for Dealer 3 and 17.9 minutes (17min 54sec) for Dealer 1, while when average inter-transaction times are used, half-lives vary between 6.5 minutes (6min 30sec) for Dealer 3 and 49.3 Prostate Specific Antigen (49min 18sec) for Dealer 1. We see that mean reversion is slowest for the two market makers, personnel audit 1 and 2, while mean reversion is very strong for Dealer 3. This can be investigated more thoroughly. Lyons (1997) estimates the implied half-life, using mean inter-transaction time, to roughly ten minutes for his DEM/USD dealer. Table 2 shows that there are differences among our dealers. Hence, specialist inventories exhibit slow mean reversion.