Profits and Position Control

Journal of International M singley and Finance 17 Ž1998. 97 115 Profits and position control: a workweek 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 head 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 just now 10 min, providing strong corroborate for inventory models. A methodological innovation allows us to invest his speculative position over time. This speculative position determines the per centum of profits deriving from speculation versus intermediation: intermediation is oftentimes more important. 1998 Elsevier Science Ltd. All rights reserved. JEL classifications: G15; F31 observational work on FX microstructure is still in its earlier stages. The early work apply futures data since that w as available at senior high school frequencies.1 In FX, however, the futures commercialise is both much smaller than tactile sensation and tightly tie in to spot through arbitrage. Moreover, early data sets did not take a leak commensurate 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 give thanks the following for helpful comments: Jeff Bohn, Frank Diebold, Bernard Dumas, delay Flo od, barb Meese, Mark Ready, Andrew Rose, Pa! trik Safvenblad, Matt Spiegel, Avanidhar Subrahmanyam, ¨ and seminar participants at Berkeley, UCLA, the federal official Reserve Board, the federal 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 opus were written while visiting the IIES at Stockholm University and I thank them for their hospitality. Financial assistance from the National Science compliance and...If you want to get a full essay, order it on our website: OrderCustomPaper.com

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