Profits and Position Control

Journal of International M integrityy and Finance 17 Ž1998. 97 115 Profits and position control: a calendar week of FX dealing Richard K. LyonsU,† U.C. Berkeley and NBER, Haas prepare of Business, U.C. Berkeley, Berkeley, CA 94720-1900, USA Abstract This write up examines foreign exchange business at the star level. The principal we track averages $100 000 in profits per day on volume of $1 million per day Žor one basis point.. The half-life of the dealers position is lone(prenominal) 10 min, providing strong corroborate for inventory models. A methodological innovation allows us to invest his speculative position oer time. This speculative position determines the per centum of profits deriving from speculation versus mediation: intermediation is oftentimes more important. 1998 Elsevier Science Ltd. All rights reserved. JEL classifications: G15; F31 existential work on FX microstructure is still in its early on stages. The earlier work apply futures data since that was available at spunky frequencies.1 In FX, however, the futures commercialise is both much smaller than mark and tightly tie in to spot through arbitrage. Moreover, early data sets did not take a leak suitable granularity to capture agent heterogeneity, the hallmark of the microstructure approach.

exert on the spot market itself grew in the early nineties with the approachability of quotes on an U † Tel.: q1 510 6421059; fax: q1 510 6424700; e-mail: lyons@haas.berkeley.edu I thank the following for helpful comments: Jeff Bohn, Frank Diebold, Bernard Dumas, dent Flood, barb Meese, Mark R eady, Andrew Rose, Patrik Safvenblad, Matt S! piegel, Avanidhar Subrahmanyam, ¨ and seminar participants at Berkeley, UCLA, the federal official Reserve Board, the national Reserve Bank of New York, the NBER, and the Stockholm School of Economics. I also thank Jeff Bohn for valuable research assistance. Parts of this typography were written while visiting the IIES at Stockholm University and I thank them for their hospitality. Financial assistance from the National Science portal and...If you want to get a full essay, order it on our website: OrderCustomPaper.com

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