Financial Intermediation and the Role of Price Discrimination in a Two-Tier Market

Though unambiguously outperforming all other financial markets in terms of liquidity, foreign exchange trading is still performed in opaque and decentralized markets. In particular, the two-tier market structure consisting of a customer segment and an interdealer segment to which only market makers have access gives rise to the possibility of price discrimination. We provide a theoretical foreign exchange pricing model that accounts for market power considerations and analyze a database of the trades of a German market maker and his cross section of end-user customers. We find that the market maker generally exerts low bargaining power vis-á-vis his customers. The dealer earns lower average spreads on trades with financial customers than commercial customers, even though the former are perceived to convey exchange-rate-relevant information. From this perspective, it appears that market makers provide interdealer market liquidity to end-user customers with cross-sectionally differing spreads.foreign exchange; market microstructure; pricing behavior

On the nonlinear influence of Reserve Bank of Australia interventions on exchange rates

This paper applies nonlinear econometric models to empirically investigate the effectiveness of the Reserve Bank of Australia (RBA) exchange rate policy. First, results from a STARTZ model are provided revealing nonlinear mean reversion of the Australian dollar exchange rate in the sense that mean reversion increases with the degree of exchange rate misalignment. Second, a STR-GARCH model suggests that RBA interventions account for this result by strengthening foreign exchange traders' confidence in fundamental analysis. This in line with the so-called coordination channel of intervention effectiveness. --Foreign exchange intervention,market microstructure,smooth transition,nonlinear mean reversion

Financial intermediation and the role of price discrimination in a two-tier market

Though unambiguously outperforming all other financial markets in terms of liquidity, foreign exchange trading is still performed in opaque and decentralized markets. In particular, the two-tier market structure consisting of a customer segment and an interdealer segment to which only market makers have access gives rise to the possibility of price discrimination. We provide a theoretical foreign exchange pricing model that accounts for market power considerations and analyze a database of the trades of a German market maker and his cross section of end-user customers. We find that the market maker generally exerts low bargaining power vis-á-vis his customers. The dealer earns lower average spreads on trades with financial customers than commercial customers, even though the former are perceived to convey exchange-rate-relevant information. From this perspective, it appears that market makers provide interdealer market liquidity to end-user customers with cross-sectionally differing spreads. --foreign exchange,market microstructure,pricing behavior

Thermoluminescence fading studies: Implications for long-duration space measurements in Low Earth Orbit

Within a 1.5 year comprehensive fading experiment several batches of LiF:Mg,Ti and LiF:Mg,Cu,P thermoluminescence detectors (TLDs) were studied. The TLDs originated from two manufacturers and were processed by three laboratories using different annealing and readout conditions. The TLDs were irradiated with two radiation modalities (gamma-rays and thermal neutrons) and were stored at two temperatures (-17.4C and +18.5C). The goal of the experiment was to verify the stability of TLDs in the context of their application in long-term measurements in space. The results revealed that the response of all TLDs is stable within 10% for the studied temperature range. No influence of the radiation type was found. These results indicate that for the properly oven-annealed LiF TLDs, fading is not a significant problem, even for measuring periods longer than a year

The Effects of Japanese Interventions on FX-Forecast Heterogeneity

This paper investigates the determinants of forecast heterogeneity in the Yen-US dollar market using a panel data set from Consensus Economics. Regardless of the particular model specification and consideration of control variables we find that exchange rate misalignments increase forecast dispersion, while foreign exchange intervention of the Japanese Ministry of Finance dampens expectation heterogeneity.Exchange rates, forecast heterogeneity, survey data

Coherence properties of nanofiber-trapped cesium atoms

We experimentally study the ground state coherence properties of cesium atoms in a nanofiber-based two-color dipole trap, localized 200 nm away from the fiber surface. Using microwave radiation to coherently drive the clock transition, we record Ramsey fringes as well as spin echo signals and infer a reversible dephasing time $T_2^\ast=0.6$ ms and an irreversible dephasing time $T_2^\prime=3.7$ ms. By theoretically modelling the signals, we find that, for our experimental parameters, $T_2^\ast$ and $T_2^\prime$ are limited by the finite initial temperature of the atomic ensemble and the heating rate, respectively. Our results represent a fundamental step towards establishing nanofiber-based traps for cold atoms as a building block in an optical fiber quantum network

Exchange rates in target zones: Evidence from the Danish Krone

Although the ERM II rules allow the Danish krone to fluctuate against the euro within an official target zone of 4.5%, most of the time the exchange rate has remained in a narrow range around its unconditional mean. Estimating a Smooth Transition Autoregression Target Zone (STARTZ) model confirms that the exchange rate exhibits target zone dynamics consistent with a band of approximately 0.75 percent around its unconditional mean. We conclude that the Danmark Nationalbank intervention policy of intra-marginal operations successfully managed an informal target zone in the foreign exchange market

Back-Scattering Properties of a Waveguide-Coupled Array of Atoms in the Strongly Non-Paraxial Regime

We experimentally investigate the back-scattering properties of an array of atoms that is evanescently coupled to an optical nanofiber in the strongly non-paraxial regime. We observe that the power and the polarization of the back-scattered light depend on the nanofiber-guided excitation field in a way that significantly deviates from the predictions of a simple model based on two-level atoms and a scalar waveguide. Even though it has been widely used in previous experimental and theoretical studies of waveguide-coupled quantum emitters, this simple model is thus in general not adequate even for a qualitative description of such systems. We develop an ab initio model which includes the multi-level structure of the atoms and the full vectorial properties of the guided field and find very good agreement with our data

Effectiveness of habitat management for improving grey partridge populations: a BACI experimental assessment

We assessed the impact of field division (4 m bare ground strips within wheat fields) and food supplementation (supplied through grain feeders) on grey partridge Perdix perdix L. populations using six–year ‘before–after’/'control–impact’ (BACI) experiments. We did not detect any convincing positive effects of either of these two schemes on partridge pair density and reproductive success. Increases in pair densities were similar on managed and control areas, and contrasting results were found between some sites. No consistent pattern was observed between reproductive success and feeding intensity. Our studies highlight the need for field experiments at farm–scale to test the effectiveness of management measures. We conclude that, in the context in which they are applied, management techniques directed towards increasing partridge density do not systematically provide the desired outcome. We develop our point of view about management in the Discussion

Diffusive transport of light in three-dimensional disordered Voronoi structures

The origin of diffusive transport of light in dry foams is still under debate. In this paper, we consider the random walks of photons as they are reflected or transmitted by liquid films according to the rules of ray optics. The foams are approximately modeled by three-dimensional Voronoi tessellations with varying degree of disorder. We study two cases: a constant intensity reflectance and the reflectance of thin films. Especially in the second case, we find that in the experimentally important regime for the film thicknesses, the transport-mean-free path does not significantly depend on the topological and geometrical disorder of the Voronoi foams including the periodic Kelvin foam. This may indicate that the detailed structure of foams is not crucial for understanding the diffusive transport of light. Furthermore, our theoretical values for transport-mean-free path fall in the same range as the experimental values observed in dry foams. One can therefore argue that liquid films contribute substantially to the diffusive transport of light in {dry} foams.Comment: 8 pages, 8 figure