@TechReport{dp-339,
  author        = {Mende, Alexander and Menkhoff, Lukas},
  astring       = {Alexander Mende and Lukas Menkhoff},
  title         = {Profits and Speculation in Intra-Day Foreign Exchange
                  Trading},
  month         = {June},
  year          = {2006},
  pages         = {34},
  size          = {250},
  number        = {339},
  language      = {en},
  keywords      = {foreign exchange markets, speculation, profits, market
                  microstructure, flow analysis},
  jelclass      = {G15, F31},
  abstract      = {This study examines profits and speculation in the USD/EUR
                  trading of a bank in Germany over a four-month period.
                  Dealing activity at the bank generates profits but
                  speculation does not seem to contribute to this. We find
                  that speculative positions fail to become profitable within
                  a 30-minutes' horizon. Also, the suggestion that exchange
                  rate volatility would foster speculative profits cannot be
                  confirmed. To explain daily revenues, neither the bank's
                  speculative trading volume nor its inventory position, but
                  only customer trading emerges as a significant determinant.
                  Furthermore, a spread analysis reveals that there is hardly
                  any room for revenues from speculation. }
}