Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 16 of 16 for “"Liquidity Provision"”.
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Is liquidity provision that informative? Evidence from commodity futures markets
Submission published under a 24 month embargo labeled 'U of I Access', the embargo will last until 2024-12-01
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Oligopolistic market-making and inventory heterogeneity
… helps to raise new questions on aspects of liquidity in the environment. The paper suggests a dynamic duopoly market-making model. The general form of the equilibrium is characterized. The exogenous parameters of the model are estimated based on the data. Two different Markov equilibria are …
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A time and frequency domain analysis of contrarian trading strategies/
… making strategy to study the profitability of liquidity provision over multiple time horizons from 1964 to 2013. Using daily returns and inside quotes, we provide evidence that widening spreads on the NASDAQ National Market System in the late 1980s and early 1990s were facilitated by implicit …
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Essays in Financial Economics
… a significant level of concentration in liquidity provision across options. I propose a dynamic duopoly market making model wherein inventory distribution shapes agents’ strategic behavior and observed liquidity provision on best quotes. I characterize the solution up to the optimal …
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Information and trading patterns in financial markets
… are given trading advantages meant to encourage liquidity provision. However, it is unclear if these advantages truly induce such trading. I test a unique dataset containing weekly trades and transaction prices of all dealers from the Taiwan Stock Exchange. Standard market-making models, such as …
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ESSAYS ON FINANCIAL MARKETS, NETWORKS, AND TECHNOLOGIES
… institutional information environments; and (2) liquidity provision, where coordinated retail buying systematically provides depth to the market, particularly on the bid side, leading market makers to widen spreads to compensate for adverse selection risk. The return predictability is persistent …
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Order Execution Quality in Equity Options Markets
… orders appear to constitute more genuine liquidity, as the duration of canceled orders lengthens. The reduction in order cancellation activity is associated with lower effective spreads and higher order fill rates. We also find that differences in trading venues and option characteristics …
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Order Behavior In High Frequency Markets
… fleeting orders have little impact on total liquidity. The results suggest that fleeting orders contribute noise to markets, and do not positively impact the spread and depth components of liquidity. This result is robust to the simultaneous issue that order submission strategies depend on …
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Trading in Electronic Markets: The Challenges of Imperfect Liquidity and Reduced Pre-Trade Transparency
… pre-trade transparency and the collateral liquidity effects. In this thesis I develop three independent theoretical models and explore the repercussions of weak market liquidity and transparency. First, I approach the issue of limited liquidity through the optimal order placement problem of …
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Essays in financial economics
… underdevelopment. Chapter 3 explores the role of liquidity constraints in households' responses to fiscal stimulus programs. In joint work with Jonathan Parker, Brian Melzer, and Arcenis Rojas, this chapter evaluates the impact of the Car Allowance Rebate System (CARS) on vehicle purchases. We …
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Intraday market dynamics
… that algorithms follow in order to locate liquidity, arbitrage opportunities, pattern detection, etc. determine the size and timing of transactions. As a result, individual transactions are far from reflecting economic decisions, and classical models of market microstructure may not be used …
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How can Market Making Aid in Developing Financial Markets
… role that market makers can play in enhancing liquidity and aiding the development of financial markets, with a particular focus on emerging economies. Market making involves providing buy and sell quotes for financial securities, thereby facilitating trading and contributing to market …
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Essays in Banking and Default
… risk-taking incentives. Due to this trade-off, liquidity provision to banks may eliminate the good equilibrium when it is not targeted. Targeted interventions have the capacity to eliminate the bad equilibrium. The second chapter, titled "Gambling Traps", analyzes macroeconomic dynamics under …
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Essays in Environmental and Supply Chain Topics in Finance
… in finance. The first two essays study how liquidity provision by the financial sector affects firms’ production decisions in response to shocks. The third essay studies the real and financial impacts of regulatory enforcement in an environmental setting. The first chapter (joint with Victor …
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Housing and credit markets
… Koulischer, studies the role of collateral in liquidity provision by central banks. Should central banks lend against low quality collateral? We characterize efficient central bank collateral policy in a model where a bank borrows from the interbank market or the central bank. Collateral has …
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Essays in Financial Econometrics
… The important role they play in facilitating liquidity provision and eliminating ETF mispricing makes their behavior crucial to the well-functioning of the ETF market. Using a novel regulatory dataset that covers the primary and secondary market transactions of 128 ETFs from 2018 to 2022, we …