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.
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Showing 1 to 20 of 52 for “"Market microstructure"”.
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Topics in Market Microstructure
… remain in a profitable position after tax. The market, nevertheless, ended up with higher trading volume, lower bid-ask spread and almost same price volatility. The second and third chapters rebuild the London Stock Exchange Electronic Order Book (SETS) in real-time for 5 different stocks for …
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Essays in Market Microstructure
… discovery between options and underlying stock markets.The second essay empirically examines whether specialists face adverse selection and evaluates the performance of the six measures of adverse selection or trade informativeness. I find that specialists face adverse selection. I find that the …
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Essays in market microstructure
Thesis (Ph. D.)--Massachusetts Institute of Technology, Sloan School of Management, 1994.
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Essays in FX market microstructure
… provides a study of the foreign exchange (FX) market from a microstructure perspective. From the empirical identification of a common component in liquidity across currencies, referred to as FX market liquidity, the thesis investigates its asset pricing implications, determinants and …
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Foreign Exchange Market Microstructure and Forecasting
… questions in the field of foreign exchange market microstructure. We confirm the contemporaneous relationship between flows and exchange rates found in the literature in the daily data, but in the forecasting experiments we find no forecasting power, regardless of model, history used …
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International equity markets and market microstructure
If the international equity market is integrated, identical stocks listed on different international stock exchanges should have the same rates of return, the same characteristics of stock price behavior and similar distributions of daily rates of return.
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System dynamics, market microstructure and asset pricing
… and tail events that characterized financial markets in the past decade. System Dynamics theory, which is still underutilized in financial modeling, could help researchers to model stock market dynamics, explain and simulate extreme events. This paper proposes an artificial stock market model, …
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Market microstructure issues related to the Greek capital market
Since the stock market crash of October 1987, academics and policy makers have been very concerned about the causes of the crash and whether the microstructure of the equity market should be redesigned to protect the market from drastic fluctuations. For their concerns, circuit breakers have been …
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Essays on Market Microstructure, Behavioral Finance, and Asset Management
… to be timing any of the risk factors. For the market factor in particular, we cannot reject the hypothesis that the actual and synthetic fund cross-sectional distributions are the same. We interpret this result as evidence that market timing ability does not persist over long time periods.
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Three essays on the market microstructure of the Saudi stock market
… on orders, order packages, quotes, trades and market-limit orders, we investigate several aspects of the microstructure of the Saudi Stock Market (SSM) under the computerized trading system, ESIS (Electronic Securities Information System). We study the interaction between the order book and …
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Market Microstructure for a Portfolio of Dividend Paying Firms around Ex-Dividend Days
… thesis contributes to the existing literature on market microstructure by presenting three essays on the market microstructure around ex-dividend days. The first essay studies the market microstructure “footprints” associated with trading and tax-arbitrage activity around ex-dividend day using a …
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An Econometric Analysis of the TOCOM Energy Futures: Volatility, Trading Activity & Market Microstructure
… an important role for participants in the energy markets in Japan, since it is one of the main commodity exchanges for energy futures. However, majority of studies on energy futures focus on NYMEX and ICE prices and there seems to be no systematic studies on TOCOM energy futures. Hence, we …
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Topics in market microstructure, misconduct and systemic risk: an empirical analysis of the South African equity market
… recent developments in the South African capital markets are presented in this thesis. The first study presents an empirical analysis of the systemic risk exposures and contributions of 125 financial institutions between 2003 and 2018. Using two popular measures of systemic risk, the marginal …
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Dealers, insiders and bandits : learning and its effects on market outcomes
… seeks to contribute to the understanding of markets populated by boundedly rational agents who learn from experience. Bounded rationality and learning have both been the focus of much research in computer science, economics and finance theory. However, we are at a critical stage in defining …
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Essays on the microstructure of US equity options
This thesis is structured as three essays on market microstructure of US equity options. The appearance of high-frequency trading changed the process of trading and the structure of financial markets. Additionally, literature on individual equity options is relatively low because of the problems …
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Correlation emergence in two coupled limit order books in the fluid limit
… an Epps effect can emerge without recourse to market microstructure effects.
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Artificial markets and intelligent agents
In many studies of market microstructure, theoretical analysis quickly becomes in tractable for all but the simplest stylized models. This thesis considers two alternative approaches, namely, the use of experiments with human subjects and simulations with intelligent agents, to address some of the …
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