Belief Dispersion and Order Submission Strategies in the Foreign Exchange Market

This paper empirically examines how dispersions across investors beliefs influence traders order submission decisions in the foreign exchange market. Previous research has found that dispersion in traders beliefs regarding future macroeconomic announcements has a significant impact on both price dynamics and trading volume before the announcements in the foreign exchange and other financial markets. However, little is known about how this dispersion impacts traders choice in submitting different types of orders and thus to supply and demand liquidity either before or after such announcements. Since the types of orders submitted by traders at these times are the building blocks of the observed price and trading dynamics, it is important to understand how differences in investors' information sets before and after important macroeconomic announcements affect their order submission decisions. We find that (i) belief dispersion affects the size and aggressiveness of orders both before and after macroeconomic announcements, (ii) the magnitude of the impact of factors known to affect order choice depends on the level of belief dispersion, and (iii) the influence of information shocks (the revelation of unexpected information) on order choices depends on the level of belief dispersion.Exchange rates; Market structure and pricing

Comparative Economic Cycles

The income cycles that have been experienced by six OECD countries over the past 24 years are analysed. The amplitude of the cycles relative to the level of aggregate income varies amongst the countries, as does the degree of the damping that affects the cycles. The study aims to reveal both of these characteristics. It also seeks to determine whether there exists a clear relationship between the degree of damping and the length of the cycles. In order to estimate the parameters of the cycles, the data have been subjected to the processes of detrending, anti-alias filtering and subsampling.Business cycles, Autoregressive models

Order Submission: The Choice between Limit and Market Orders

Most financial markets allow investors to submit both limit and market orders, but it is not always clear what affects the choice of order type. The authors empirically investigate how the time between order submissions, changes in the state of the order book, and price uncertainty influence the rate of submission of limit and market orders. The authors measure the expected time (duration) between the submissions of orders of each type using an asymmetric autoregressive conditional duration model. They find that the execution of market orders, as well as changes in the level of price uncertainty and market depth, impact the submissions of both best limit orders and market orders. After correcting for these factors, the authors also find differences in behaviour around market openings, closings, and unexpected events that may be related to changes in information flows at these times. In general, traders use more market (limit) orders at times when execution risk for limit orders is highest or the risk of unexpected price movements is highest.Exchange rate; Financial institution; Market structure and pricing

Orthogonality Conditions for Non-Dyadic Wavelet Analysis

The conventional dyadic multiresolution analysis constructs a succession of frequency intervals in the form of ( π  / 2  j , π  / 2  j  - 1 ); j  = 1, 2, . . . ,  n of which the bandwidths are halved repeatedly in the descent from high frequencies to low frequencies. Whereas this scheme provides an excellent framework for encoding and transmitting signals with a high degree of data compression, it is less appropriate to the purposes of statistical data analysis.       A non-dyadic mixed-radix wavelet analysis is described that allows the wave bands to be defined more flexibly than in the case of a conventional dyadic analysis. The wavelets that form the basis vectors for the wave bands are derived from the Fourier transforms of a variety of functions that specify the frequency responses of the filters corresponding to the sequences of wavelet coefficients.Wavelets, Non-dyadic analysis, Fourier analysis

A Structural Error-Correction Model of Best Prices and Depths in the Foreign Exchange Limit Order Market

Traders using the electronic limit order book in the foreign exchange market can watch the posted price and depth of the best quotes change over the day. The authors use a structural errorcorrection model to examine the dynamics of the relationship between the best bid price, the best ask price, and their associated depths. They incorporate measures of the market depth behind the best quotes as regressors. They report four main findings. First, best prices and their associated depths are contemporaneously related to each other. More specifically, an increase in the ask (bid) price is associated with a drop (rise) in the ask (bid) depth. This suggests that sell traders avoid the adverse-selection risk of selling in a rising market. Second, when the spread-the error-correction term-widens, the bid price rises and the ask price drops, returning the spread to its long-term equilibrium value. Further, the best depth on both sides of the market drops, due to increased market uncertainty. Third, the lagged best depth impacts the price discovery on both sides of the market, with the effect being strongest on the same side of the market. Fourth, changes in the depth behind the best quotes impact both the best prices and quantities, even though those changes are unobservable to market participants.Exchange rates; Financial markets

Order Aggressiveness and Quantity: How Are They Determined in a Limit Order Market?

Dealers trading in a limit order market must choose both the order aggressiveness and the quantity for their orders. We empirically investigate how dealers jointly make these decisions in the foreign exchange market using a unique simultaneous equations model. The model uses an ordered probit model to account for the discrete nature of order aggressiveness and a censored regression model to capture the clustering of orders placed at the smallest available quantity, $1 million. We find evidence of a clear trade-off between order aggressiveness and quantity: more aggressive orders tend to be smaller in size. The increased competition (demand) suggested by increased depth on the same (opposite) side of the market leads to less (more) aggressive orders in smaller (larger) size. This holds for the depths at both the best and off-best prices, even though off-best depths are not observable to dealers.Exchange rates; Financial markets

Price Formation and Liquidity Provision in Short-Term Fixed Income Markets

Differences in market structures may affect the manner in which fundamental information is incorporated into prices. High levels of quote and trade transparency plus substantial quoting obligations in European government securities markets ensure that prices are informationally efficient. The relationship between price changes, order flow, relative depth and spreads across European and Canadian short-term government bond markets is examined via a reduced-form vector autoregression model. In European markets, dealers are able to quickly absorb private information elsewhere in the market. Consequently, spreads and the relative depth on the bid and offer sides of the market are found to be only slightly informative. Similarly, order flow, which reflects inventory management practices in addition to private information, explains a smaller proportion of the variation in asset returns in European markets than in Canadian interdealer brokered markets where no quoting obligations exist.Market structure and pricing; Financial markets; Interest rates

Part 1: Synthesis of 3,7 dimethyl-7-methoxyoctane-2-ol (Osyrol) from Citronellol utilizing the Wacker Process Part 2: Developing a methodology for C(sp3)-H Arylation on the β Position of a Carboxylic Acid using a Removable Directing Group

The synthesis of 3,7-dimethyl-7-methoxyoctane-2-ol (Osyrol), an important sandalwood odorant, from 3,7-dimethylocta-1,6-diene (dihydromyrcene) was recently accomplished by two groups, both utilizing a two-step epoxide formation and ring opening approach. Here, the synthesis of Osyrol from 3,7-Dimethyloct-6-en-1-ol (citronellol) is accomplished in a novel six-step approach. The key steps in this synthesis is the Wacker Oxidation of a terminal double bond followed by sodium borohydride (NaBH4) reduction. Though most of the steps in this reaction scheme resulted in limited success, the key steps occurred with high yields. In the second chapter, the effects of 2-aminophenyl-1H-pyrazole (2-APP) as a removable directing group for C(sp3)-H arylation was explored, as it has been successful in a multitude of C(sp2)-H activation methodologies. The best results were obtained when silver acetate (AgOAc) was employed as a promoter to the palladium II acetate (Pd(OAc)2)catalyst, and iodo-toluene as the aryl source. The reaction was heated to 130 °C in toluene in a sealed microwave vial. This produced the arylated product in high yields (~90%), when aryl iodide used had low steric hindrance and strong electron-donating groups

Evaluating the suitability of standard thermal comfort approaches for hospital patients in air-conditioned environments in hot climates

Hospital patients have the same thermal needs but disparate metabolic levels, and physical/medical conditions. However, the thermal environments of hospitals are often not designed with these distinctions in mind, nor with a particular focus on patients, but based rather on standard comfort methodologies more often used in offices. This paper seeks to confirm if a standard steady-state thermal comfort approach is inadequate, especially in hot climates. The research was conducted on 120 patients during the summer of 2017 in Jeddah, Saudi Arabia, with environmental monitoring of all thermal comfort parameters, alongside estimations of clothing insulation and activity levels for patients in the surgical and medical wards. The data was analysed using simple and multiple regressions, and measures of correlations tests to assess the reliability of the results in addition to t-tests for detecting the differences. The findings revealed a significant difference between the Thermal Sensation Vote (TSV, assessed by patient surveys), and the Predicted Mean Vote (PMV, assessed by physical measurement), with the TSV survey approach failing to identify a unique neutral temperature while the PMV revealed a neutral temperature of 25.6 C. Importantly, the neutral temperature predicted by Griffith’s method gave an extremely large range of results, form 16.2 C–28.8 C (mean = 22.7 C; SD = 2.51). The corollary being that using PMV or a non-patient-specific temperature for hospital rooms is a poor idea. Given the known links between hospital environments and recovery outcomes, this result has implications for the design of hospital environments and the setting of national or international standard