Customer Trading in the Foreign Exchange Market: Empirical Evidence from an Internet Trading Platform

This paper analyzes the relationship between currency price changes and their expectations. Currency price change expectations are derived with the help of different order flow measures, from the trading behavior of investors on OANDA FXTrade, which is an internet trading platform in the foreign exchange market. We investigate whether forecasts of intra-day price changes on different sampling frequencies can be improved with the information contained in the flow of our investors’ orders. Moreover, we verify several hypotheses on the trading behavior and the preference structure of our investors by investigating how past price changes affect future order flow.Customer Dataset, Order Flow, Price Changes, Foreign Exchange Market

The information content of retail investors' order flow

In this paper, we provide evidence that the trading activity of small retail investors carries significant genuine information that can be exploited for the short-term out-of-sample forecasting of foreign exchange rates. Our findings are based on a unique dataset of around 2000 retail investors from the OANDA FXTrade electronic trading platform. Our results are consistent with the view that in the foreign exchange market private information is highly dispersed, but can be extracted by observing customer order flow. Previous studies, however, focused on the information content of costumer order flow of dealers in the interbank market, whose clients are themselves large institutional and professional investors. Our study is the first that analyzes a crowd of small retail investors and shows that even the trading activity of these investors contains, on aggregate, important non-public information that can be exploited for short-term exchange rate forecasting. Our findings lead us to conjecture that retail investors (on aggregate) are not pure noise traders but process dispersed information at least partially in a similar way as large institutional investors and hence place their orders accordingly

Advancements in Standardising Patient-Reported Outcomes Measurement

Patient-reported outcomes (PRO) data can deliver crucial information for diagnostic purposes and regarding benefits and possible harms of medical interventions. Recognising the potential of the patient’s voice, PRO data are increasingly integrated in clinical practice and clinical research, and they play an increasingly important role in medical and health policy decision making. With the growing focus on patient centeredness, the requirements towards the quality of PRO data are steadily increasing as well, and outcomes researchers and other stakeholders working in related disciplines such as academia, the pharmaceutical industry and the not-for-profit sector have a growing ethical responsibility to use only those PRO instruments that generate robust data and allow for valid inferences from PRO scores. To achieve high quality PRO data, standardised processes spanning from PRO instrument development and content validation, translation and cultural adaptation, statistical analysis and interpretation of PRO data are key to ensure that data collected via patient self-report can be trusted. This habilitation thesis focuses on PRO standardisation efforts worldwide, including an overview of PRO projects that were run in the context of two key PRO measurement systems, i.e., the PRO instruments of 1) the Patient-Reported Outcomes Measurement Information System (PROMIS) initiative and 2) the European Organization for Research and Treatment of Cancer (EORTC) Quality of Life Group. In conclusion, international initiatives aimed at standardised PRO assessment are well underway all of which contribute to ensuring that high quality PRO data can be generated. It is expected that both the PROMIS and EORTC suites of PRO instruments will continue to grow, consolidate the PRO field and be a benchmark for standardised PRO assessment, validation and interpretation

Regional Powers Still Matter!

Economic and domestic political crises as well as global structural shifts that have resulted in a much tighter interconnection of events, actors, and institutions across the national, regional, and global levels have called into question the ability of so-called regional powers, such as Brazil, India, and South Africa, to have a serious impact on global politics in the remainder of the twenty-first century. Regional powers have been considered important contributors to regional and global order because they are expected to, for example, ensure stability and effective regional cooperation in a world that is increasingly difficult to govern. Yet, the actual outcomes of their regional projections have been mixed. While some regional powers, such as Brazil or South Africa, seem to have lost clout in the past few years, other countries, such as Saudi Arabia or Turkey, are striving for regional power status. Regional powers face contradictory demands in regard to their global and regional policies. Being at the interface between regional and global politics poses particular challenges and often leads to indecisive, reluctant, and sometimes contradictory policy choices. New and old regional powers are, further, facing important domestic ­challenges, such as significant downturns in their economies, corruption, and reduced state capacity to mobilise resources, as well as growing populist sentiments and even a drift towards authoritarianism. These issues create disruption in their foreign policies and represent potential challenges, due to unpredictability, for both research and policymaking. Nevertheless, "regional powers" is still a useful analytical concept with which to make sense of some of these trends by focusing on the regional dimension of international politics. Being a regional power does not preclude being a rising power or even a great power in global terms. Germany's and other Western countries' foreign policies often treat rising and regional powers as hubs of stability and economic prosperity. Yet, in a -changing world order, a better understanding of regional dynamics and tensions is ­needed: regional powers do not automatically serve as multipliers of policies within their regions given the sometimes low degree of regional integration. Their ability and willingness to influence their neighbourhood may change over time and policy fields; this variance should not be underestimated

What determines forecasters’ forecasting errors?

This paper contributes to the growing body of literature in macroeconomics and finance on expectation formation and information processing by analyzing the relationship between expectation formation at the individual level and the prediction of macroeconomic aggregates. Using information from business tendency surveys, we present a new approach of analyzing forecasters’ qualitative forecasting errors. Based on a quantal response approach with misclassification, we define forecasters’ qualitative mispredictions in terms of deviations from the qualitative rational expectation forecast, and relate them to the individual and macro factors that are driving these mispredictions. Our approach permits a detailed analysis of individual forecasting decisions, allowing for the introduction of individual and economy-wide determinants that affect the individual forecasting error process

Dimensions and location of high-involvement management:fresh evidence from the UK Commission's 2011 Employer Skills Survey

High-involvement management is typically seen as having three components: worker involvement, skill and knowledge acquisition and motivational supports. The prescriptive literature implies the elements should be used together; but using data from the UK Commission's Employer Skills Survey of 2011 we find that these dimensions of high-involvement management are in reality separate. Two types of involvement, role and organisational, are not strongly related, and motivational supports are not strongly correlated with other practices or each other. Size of workplace and the sector in which it operates are associated with the dimensions of high-involvement management. However, there is variety in their other predictors. For example, organisational involvement and skill acquisition are positively related to workplace size while role involvement is negatively associated with it. The research illustrates the value of scaling methods over blanket indexes to measure high involvement management and highlights the independent effects of quality and operational management methods

Statistical Inference with High-Frequency Financial Data : New Perspectives from Alternative Observation Schemes

This thesis is a compilation of three main studies with the common theme: statistical inference with high-frequency financial data under alternative observation or sampling schemes. The increasing availability of high-frequency financial data has motivated the development of new statistical inference tools, such as (i) advanced volatility estimators with better robustness in the presence of local extreme phenomena in intraday asset prices, and (ii) techniques for identifying these unusual extreme events, which contribute to a comprehensive understanding of their impact on financial markets. The investigation on both topics in this thesis adopts an innovative perspective by exploring potential enhancements from utilizing high-frequency financial data under alternative observation schemes, which stands in contrast to traditional methods that rely on equidistantly sampled transaction price records. In Chapter 2, we introduce a novel nonparametric high-frequency jump test for discretely observed Itô semimartingales. Based on observations sampled recursively at first exit times from a symmetric double barrier, our method distinguishes between threshold exceedances caused by the Brownian component and jumps, which enables the construction of a feasible, noise-robust statistical test. Simulation results demonstrate superior finite-sample performance of our test compared to classical methods. An empirical analysis of NYSE-traded stocks provides clear statistical evidence for jumps, with the results highly robust to spurious detections. In Chapter 3, we develop a new nonparametric estimator of integrated variance that utilizes intraday candlestick information, comprised of the high, low, open, and close prices within short time intervals. The range-return-difference volatility (RRDV) estimator is robust to short-lived extreme return persistence hardly attributable to the diffusion component, such as gradual jumps and flash crashes. By modelling such sharp but continuous price movements following some recent theoretical advances, we demonstrate that RRDV can provide consistent estimates with variances about four times smaller than those obtained with the differenced-return volatility (DV) estimator. Monte Carlo simulations and empirical applications further validate the practical reliability of our proposed estimator with some finite-sample refinements. In Chapter 4, we introduce an innovative semiparametric framework for duration-based volatility estimation. We filter out daily volatility dynamics from intraday price durations by employing a nonparametrically predicted threshold that dynamically adapts to the volatility of each day. This enables the application of parametric models to price durations collected over various days, which greatly enhances the flexibility of model estimation and facilitates the construction of more accurate volatility estimators. Simulation results demonstrate superior finite-sample performance of our duration-based estimators for both spot and integrated volatility compared to some established methods. An empirical application based on intraday data for the SPDR S&P 500 ETF highlights the improved forecasting accuracy of our integrated volatility estimator within a standard daily volatility forecasting framework. Furthermore, an intraday analysis based on our spot volatility estimator reveals an immediate and substantial impact of FOMC news announcements on market volatility

quality of life outcomes of prostate cancer patients after radiotherapy or radical prostatectomy in a cohort study

Background This study describes and compares health-related quality of life (HRQOL) of prostate cancer patients who received either radical prostatectomy (nerve-sparing, nsRP, or non-nerve-sparing, nnsRP) or radiotherapy (external RT, brachytherapy, or both combined) for treatment of localised prostate cancer. Methods The prospective, multicenter cohort study included 529 patients. Questionnaires included the IIEF, QLQ-C30, and PORPUS-P. Data were collected before (baseline), three, six, twelve, and twenty-four months after treatment. Differences between groups’ baseline characteristics were assessed; changes over time were analysed with generalised estimating equations (GEE). Missing values were treated with multiple imputation. Further, scores at baseline and end of follow-up were compared to German reference data. Results The typical time trend was a decrease of average HRQOL three months after treatment followed by (partial) recovery. RP patients experienced considerable impairment in sexual functioning. The covariate-adjusted GEE identified a significant - but not clinically relevant - treatment effect for diarrhoea (b = 7.0 for RT, p = 0.006) and PORPUS-P (b = 2.3 for nsRP, b = 2.2 for RT, p = 0.045) compared to the reference nnsRP. Most of the HRQOL scores were comparable to German norm values. Conclusions Findings from previous research were reproduced in a specific setting of a patient cohort in the German health care system. According to the principle of evidence-based medicine, this strengthens the messages regarding treatment in prostate cancer and its impacts on patients’ health-related quality of life. After adjustment for baseline HRQOL and other covariates, RT patients reported increased symptoms of diarrhoea, and nnsRP patients decreased prostate-specific HRQOL. RP patients experienced considerable impairment in sexual functioning. These differences should be taken into account by physicians when choosing the best therapy for a patient