An investigation of customer order flow in the foreign exchange market

This paper examines the effect that heterogeneous customer orders flows have on exchange rates by using a new, and the largest, proprietary dataset of weekly net order flow segmented by customer type across nine of the most liquid currency pairs. We make several contributions. Firstly, we investigate the extent to which customer order flow can help to explain exchange rate movements over and above the influence of macroeconomic variables. Secondly, we address the issue of whether order flows contain (private) information which explain exchange rates changes. Thirdly, we look at the usefulness of order flow in forecasting exchange rate movements at longer horizons than those generally considered in the microstructure literature. Finally we address the question of whether the out-of-sample exchange rate forecasts generated by order flows can be employed profitably in the foreign exchange markets

Order-flow Standardization with Product Data Management Ideology

Tämän diplomityön päämääränä oli kuvata tilaus-toimitusprosessin eri toimintojen työnkulku, kun tuotetiedonhallintajärjestelmä on osa työympäristöä. Työn teoreettisessa osassa tarkasteltiin liiketoimintaprosessien uudistamista ja prosessien määrittämistä sekä esiteltiin tuotetiedonhallinnan (PDM) keskeiset osa-alueet. Kohdeyrityksen tausta ja strategiat esiteltiin, minkä jälkeen muutoksia arvioitiin suhteessa teoriaosuuden tuloksiin. Nykyisten toimintatapojen määrittämistä varten haastateltiin henkilöitä jokaisesta tilaus-toimitusprosessin vaiheesta tuotantoyksikön sisällä. Lopuksi kuvattiin yrityksen tuotetiedonhallintaperiaatteet ja määritettiin työnkulku prosessin eri vaiheissa. Samalla kuin uusi tuotetiedonhallintajärjestelmä otetaan käyttöön, on yrityksessä omaksuttava tuotetiedonhallinnan ajatusmalli. Tuoterakenteen hallinta jakautuu nyt eri toimintojen kesken, jolloin suunnittelun rakenne, tuotannon rakenne ja huoltorakenne ovat eri ihmisten vastuulla. Näiden eri rakenteiden konfigurointi tilaus-toimitus prosessin aikana määrää missä järjestyksessä toiminnot on suoritettava eri järjestelmien välillä. Monikansallinen suunnitteluorganisaatio on myös otettava huomioon tilauksenkulun aikana. Tuotetiedonhallintajärjestelmää käytetään yhdessä tuttujen suunnitteluohjelmien sekä toiminnanohjausjärjestelmän (ERP) kanssa. Työnkulkukaaviossa määritellään koko yritystä koskeva malli siitä, miten ja missä järjestyksessä tehtävät on suoritettava eri järjestelmissä tilaus-toimitus prosessin aikana. Tässä työssä tutkittiin tuotteen määrittelyn ja suunnittelutiedon hallinnan kannalta oleellisimmat tilaus-toimitusprosessiin kuuluvat toiminnot; myynti, myynnin tuki, tuotannon ohjaus, sovellussuunnittelu ja dokumentointi. Tulevaisuudessa on suositeltavaa pohtia tuotetiedonhallintajärjestelmän käyttöönottoa myös tuotannossa ja ostoissa. Tilaus-toimitusprosessiin liittyvät kehitysmahdollisuudet kannattaisi seuraavaksi kohdistaa tilauksen määrittelyvaiheeseen myyjä-asiakas rajapinnassa, jossa tehdyt virheet kertautuvat jokaisessa prosessin vaiheessa.

Microstructure Order Flow: Statistical and Economic Evaluation of Nonlinear Forecasts

In this paper we propose a novel empirical extension of the standard market microstructure order flow model. The main idea is that heterogeneity of beliefs in the foreign exchange market can cause model instability and such instability has not been fully accounted for in the existing empirical literature. We investigate this issue using two di¤erent data sets and focusing on out- of-sample forecasts. Forecasting power is measured using standard statistical tests and, additionally, using an alternative approach based on measuring the economic value of forecasts after building a portfolio of assets. We nd there is a substantial economic value on conditioning on the proposed models.

Macroeconomic announcements, price discovery, and order flow efects in the stock market: evidence from incomplete data and multiple financial markets

This paper investigates heterogeneity in the market assessment of public macro- economic announcements by exploring (jointly) two main mechanisms through which macroeconomic news might enter stock prices: instantaneous fundamental news im- pacts consistent with the asset pricing view of symmetric information, and permanent order ow e¤ects consistent with a microstructure view of asymmetric information related to heterogeneous interpretation of public news. Theoretical motivation and empirical evidence for the operation of both mechanisms are presented. Signi cant in- stantaneous news impacts are detected for news related to real activity (including em- ployment), investment, in ation, and monetary policy; however, signi cant order ow e¤ects are also observed on employment announcement days. A multi-market analysis suggests that these asymmetric information e¤ects come from uncertainty about long term interest rates due to heterogeneous assessments of future Fed responses to em- ployment shocks.

Variational second order flow estimation for PIV sequences

[EN] We present in this paper a variational approach to accurately estimate simultaneously the velocity field and its derivatives directly from PIV image sequences. Our method differs from other techniques that have been presented in the literature in the fact that the energy minimization used to estimate the particles motion depends on a second order Taylor development of the flow. In this way, we are not only able to compute the motion vector field, but we also obtain an accurate estimation of their derivatives. Hence, we avoid the use of numerical schemes to compute the derivatives from the estimated flow that usually yield to numerical amplification of the inherent uncertainty on the estimated flow. The performance of our approach is illustrated with the estimation of the motion vector field and the vorticity on both synthetic and real PIV datasets.

Explaining turn of the year order flow imbalance

The paper provides evidence of a turn of the year effect in the order flow imbalance of both retail and institutional investors. In December there is net selling pressure which is reversed in January. We examine high frequency intraday order flow information and find that the changes in order flow imbalance between December and January are related to firm risk factors and characteristics. We find that retail order flow imbalances are associated with a wide range of risk characteristics including beta, illiquidity and unsystematic risk. Imbalances in institutional order flow are associated with only a small number of risk variables. We show that these order flow changes are important because risk premiums are elevated in January. Our results are robust to the effects of decimalization.

Project Master Document adaption in order fulfillment process

This thesis discusses adaption of new project management tool at ABB Oy Motors and Generators business unit, Synchronous Machines profit centre. Thesis studies project modeling in general and buries in the Gate Model used at ABB Synchronous Machines. It is essential to understand Gate Model because this new project management tool, called Project Master Document, is created on the base of the existing project model. Thesis also analyzes goals and structure of Project Master Document in order to ease implementation of this new tool. Project Master Document aims to improved customer order fulfillment by clearing order handover interface. Office process, especially responsibilities and target dates, become also clearer after Master Document implementation. The document is built to be frame for whole order fulfillment process including check points for each gate of project model and updated memos from all project meetings. Furthermore, project progress will be clearly stated by status markings and visualized with colors.

Engineer-to-order tuotteen ja tuotannon kehittäminen kohti massakustomointia

Tämän kandidaatinyön tavoitteena on selvittää keinoja joilla ETO-yhtiö voi kehittää tuotettaan ja tuotantoaan kohti massakustomointi. Lisäksi selvitetään mitkä asiat vaikuttavat asiakastilauksen kytkentäpisteen asettamiseen siirtyessä massakustomointiin. Työ on tehty kirjallisuuskatsauksena. Esitettyjen tietojen ja tulosten pohjana on alan kirjallisuus sekä julkaistut artikkelit. Työn perusteella voidaan todeta että parhaimmat keinot massakustomoinnin tavoitteluun ETO-yhtiölle ovat; tuotannon ja tuotteiden kehittäminen siten että pystytään hyödyntämään modularisointia ja komponenttien standardointia, lisäksi tuotesuunnitteluun käytettävää aikaa tulee vähentää automatisoimalla tuotesuunnittelua tai käyttämällä standardi suunnitelmia. ETO-yhtiössä siirtyessä massakustomointiin tulee asiakastilauksen kytkentäpisteen paikkaa asetettaessa ottaa huomioon tuotannon ja suunnittelun ulottuvuus kytkettynä asiakkaan vaatimuksiin.

Modeling Stock Order Flows and Learning Market-Making from Data

Stock markets employ specialized traders, market-makers, designed to provide liquidity and volume to the market by constantly supplying both supply and demand. In this paper, we demonstrate a novel method for modeling the market as a dynamic system and a reinforcement learning algorithm that learns profitable market-making strategies when run on this model. The sequence of buys and sells for a particular stock, the order flow, we model as an Input-Output Hidden Markov Model fit to historical data. When combined with the dynamics of the order book, this creates a highly non-linear and difficult dynamic system. Our reinforcement learning algorithm, based on likelihood ratios, is run on this partially-observable environment. We demonstrate learning results for two separate real stocks.

The order selection and lot sizing problem in the make-to-order environment

This research is motivated by the need for considering lot sizing while accepting customer orders in a make-to-order (MTO) environment, in which each customer order must be delivered by its due date. Job shop is the typical operation model used in an MTO operation, where the production planner must make three concurrent decisions; they are order selection, lot size, and job schedule. These decisions are usually treated separately in the literature and are mostly led to heuristic solutions. The first phase of the study is focused on a formal definition of the problem. Mathematical programming techniques are applied to modeling this problem in terms of its objective, decision variables, and constraints. A commercial solver, CPLEX is applied to solve the resulting mixed-integer linear programming model with small instances to validate the mathematical formulation. The computational result shows it is not practical for solving problems of industrial size, using a commercial solver. The second phase of this study is focused on development of an effective solution approach to this problem of large scale. The proposed solution approach is an iterative process involving three sequential decision steps of order selection, lot sizing, and lot scheduling. A range of simple sequencing rules are identified for each of the three subproblems. Using computer simulation as the tool, an experiment is designed to evaluate their performance against a set of system parameters. For order selection, the proposed weighted most profit rule performs the best. The shifting bottleneck and the earliest operation finish time both are the best scheduling rules. For lot sizing, the proposed minimum cost increase heuristic, based on the Dixon-Silver method performs the best, when the demand-to-capacity ratio at the bottleneck machine is high. The proposed minimum cost heuristic, based on the Wagner-Whitin algorithm is the best lot-sizing heuristic for shops of a low demand-to-capacity ratio. The proposed heuristic is applied to an industrial case to further evaluate its performance. The result shows it can improve an average of total profit by 16.62%. This research contributes to the production planning research community with a complete mathematical definition of the problem and an effective solution approach to solving the problem of industry scale.

Branch and price solution approach for order acceptance and capacity planning in make -to -order operations

The increasing emphasis on mass customization, shortened product lifecycles, synchronized supply chains, when coupled with advances in information system, is driving most firms towards make-to-order (MTO) operations. Increasing global competition, lower profit margins, and higher customer expectations force the MTO firms to plan its capacity by managing the effective demand. The goal of this research was to maximize the operational profits of a make-to-order operation by selectively accepting incoming customer orders and simultaneously allocating capacity for them at the sales stage. ^ For integrating the two decisions, a Mixed-Integer Linear Program (MILP) was formulated which can aid an operations manager in an MTO environment to select a set of potential customer orders such that all the selected orders are fulfilled by their deadline. The proposed model combines order acceptance/rejection decision with detailed scheduling. Experiments with the formulation indicate that for larger problem sizes, the computational time required to determine an optimal solution is prohibitive. This formulation inherits a block diagonal structure, and can be decomposed into one or more sub-problems (i.e. one sub-problem for each customer order) and a master problem by applying Dantzig-Wolfe’s decomposition principles. To efficiently solve the original MILP, an exact Branch-and-Price algorithm was successfully developed. Various approximation algorithms were developed to further improve the runtime. Experiments conducted unequivocally show the efficiency of these algorithms compared to a commercial optimization solver.^ The existing literature addresses the static order acceptance problem for a single machine environment having regular capacity with an objective to maximize profits and a penalty for tardiness. This dissertation has solved the order acceptance and capacity planning problem for a job shop environment with multiple resources. Both regular and overtime resources is considered. ^ The Branch-and-Price algorithms developed in this dissertation are faster and can be incorporated in a decision support system which can be used on a daily basis to help make intelligent decisions in a MTO operation.^

Branch and Price Solution Approach for Order Acceptance and Capacity Planning in Make-to-Order Operations

The increasing emphasis on mass customization, shortened product lifecycles, synchronized supply chains, when coupled with advances in information system, is driving most firms towards make-to-order (MTO) operations. Increasing global competition, lower profit margins, and higher customer expectations force the MTO firms to plan its capacity by managing the effective demand. The goal of this research was to maximize the operational profits of a make-to-order operation by selectively accepting incoming customer orders and simultaneously allocating capacity for them at the sales stage. For integrating the two decisions, a Mixed-Integer Linear Program (MILP) was formulated which can aid an operations manager in an MTO environment to select a set of potential customer orders such that all the selected orders are fulfilled by their deadline. The proposed model combines order acceptance/rejection decision with detailed scheduling. Experiments with the formulation indicate that for larger problem sizes, the computational time required to determine an optimal solution is prohibitive. This formulation inherits a block diagonal structure, and can be decomposed into one or more sub-problems (i.e. one sub-problem for each customer order) and a master problem by applying Dantzig-Wolfe’s decomposition principles. To efficiently solve the original MILP, an exact Branch-and-Price algorithm was successfully developed. Various approximation algorithms were developed to further improve the runtime. Experiments conducted unequivocally show the efficiency of these algorithms compared to a commercial optimization solver. The existing literature addresses the static order acceptance problem for a single machine environment having regular capacity with an objective to maximize profits and a penalty for tardiness. This dissertation has solved the order acceptance and capacity planning problem for a job shop environment with multiple resources. Both regular and overtime resources is considered. The Branch-and-Price algorithms developed in this dissertation are faster and can be incorporated in a decision support system which can be used on a daily basis to help make intelligent decisions in a MTO operation.

Skapa förutsättningar för att implementera Lean production i en tillverkningsprocess som kännetecknas av HVLV : - En fallstudie på Tibrokök Sverige AB

Idag är det vanligt att företagen konkurrerar med produkter som innefattar en fysisk vara som har utvidgats med olika tjänster för att kunna tillfredsställa kundens behov. I takt med detta ökar produkternas komplexitet och högre krav ställs på leverantörerna. Denna utveckling har lett till att många företag som tillverkar produkter med hög variation måste arbeta helt kundorderstyrt för att kunna tillgodose kundernas ökande krav. Företagen som tillverkar dessa komplexa produkter har en tillverkning som karaktäriseras av hög variation och låg volym vilket benämns med förkortningen HVLV. Utmaningen för dessa HVLV-företag ligger i att ha en hög produktmixflexibilitet med så låg resursanvändning som möjligt. För att effektivisera verksamheten har många företag därför intresserat sig för Lean production som har visat sig vara ett framgångsrikt koncept för tillverkande företag runt om i världen som effektiviserat sin produktion. Ett flertal artiklar har uppmärksammat begränsningar vid implementeringen av Lean production i HVLV-miljöer. Artiklar pekar vidare på behovet av ytterligare forskning kring Lean productions applicerbarhet i HVLV-miljöer och detta var uppkomsten till examensarbetets bakgrund och syfte. En fallstudie har genomförts på Tibrokök som är ett företag med en helt kundorderstyrd produktion som kännetecknas av HVLV. Med hjälp av fallstudien syftar examensarbetet till att undersöka om verktygen processkartläggning inkl. tidsstudier och layoutflödesdiagram kan bidra till att skapa förutsättningar för implementering av Lean production i en enskild tillverkningsprocess i en HVLV-miljö. Trots att verktygen har behövt anpassas något så anses de ha varit användbara och bidragande till skapandet av förutsättningar för implementering av Lean production i denna HVLV-miljö. Detta eftersom vi kunde identifiera många orsaker till slöseri samt ta fram ett förslag som skapar effektiviseringar av Tibroköks ytbehandlingsprocess i det framtida läget.

Order fulfillment in high variety production environments

Providing high levels of product variety and product customization is challenging for many companies. This paper presents a new classification of production and order fulfillment approaches available to manufacturing companies that offer high variety and/or product customization. Six categories of approaches are identified and described. An important emerging approach - open pipeline planning – is highlighted for high variety manufacturing environments. It allows a customer order to be fulfilled from anywhere in the system, enabling greater responsiveness in Build-to-Forecast systems. The links between the open pipeline approach, decoupling concepts and postponement strategies are discussed and the relevance of the approach to the volume automotive sector is highlighted. Results from a simulation study are presented illustrating the potential benefits when products can be reconfigured in an open pipeline system. The application of open pipeline concepts to different manufacturing domains is discussed and the operating characteristics of most relevance are highlighted. In addition to the automotive, sectors such as machinery and instrumentation, computer servers, telecommunications and electronic equipment may benefit from an open pipeline planning approach. When properly designed these systems can significantly enhance order fulfillment performance.

Information and investor behavior surrounding earnings announcements

Preliminary version