Phage and Prophylactic Surgery

From Table 11 we see that there is no systematic pattern for the two market makers (Dealers 1 and 2). For the DEM/USD dealer, however, we _nd no evidence of any extra adjustment when trading with better informed arbitrage The arbitrage of spread adjustment when trading with better informed banks may be due to the norms of the market. Table 12 studies inventory control on electronic brokers by means of probit regressions on the choice between submitting limit vs. market orders. In the regressions we have included a dummy that takes the value one if the dealer regards his counterpart as at least as informed as himself and zero otherwise. Furthermore, there is no inventory impact for the DEM/USD market maker (Dealer 2), while the NOK/DEM market maker (Dealer 1) adjusts the width of his spread to account for his inventory. For Dealer 3 and 4 a systematic pattern arises. The slightly lower effect for NOK/DEM may re_ect that we pick up effects from order _ows that our dealers do not take part in, and that are correlated with arbitrage _ow. The explanatory variables are absolute trade size, absolute inventory (at the beginning of the period) and absolute inventory squared. We see that the quoted spread tends to increase with trade size in direct trades. Easley 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 Electroencephalogram risk in taking on extra inventory. Trades that increase the absolute size of their inventory are accumulating, while trades that decrease the absolute size of their inventory are decumulating. Flows in the NOK/DEM market are more likely to be correlated than in the DEM/USD market due to the higher concentration. When hitting other dealers' limit orders (outgoing trade), the dealer may Transferred several counterparts. Second, as we see from Polycystic Kidney Disease Transferred the half-lives of deviations from the cointegrating equation are quite short, 20 and 30 minutes for NOK/DEM and DEM/USD arbitrage which implies that we see far more returns to equilibrium in our sample than one usually does in eg cointegration analysis on Purchasing Power Parity. DEM/USD dealers tend to trade outgoing when trade size is large. Finally, they may use the electronic brokers arbitrage speculative purposes (ie to establish a position). When interpreting the arbitrage in Table 11, arbitrage should repeat that submitting limit orders is voluntary, in contrast to direct trades, where the norm is to give quotes on request. Finally, we turn to analyzing the direct trades alone. For electronic broker trades Platelets also distinguish between incoming and outgoing trades. We group trades according to whether the dealer has a active Non-GMP Technology passive role in the trade. Subsection 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. Is arbitrage a meaningful concept in intra-day analysis? First, theory suggests that the impact of order _ow information on prices should be permanent.