Essays in Information Finance

In modern financial markets, participants' ability to access and process information is fundamental to the accurate pricing of assets and to firms' financial decisions. Advances in technologies such as machine learning and artificial intelligence, together with evolving market structures, have improved the speed and efficiency of information transmission within and beyond capital markets. By examining how information flows interact with market responses, this thesis highlights the central role of information in modern finance. It studies two types of flow: information moving between markets, and information moving from big data sources to investors. The first essay, "Cross-Market Price Discovery and Selective Delta Hedging in the Option Market," investigates the microstructure of information flow between derivative and equity markets. Using trade-level data from the Option Price Reporting Authority (OPRA) and Trades and Quotes (TAQ) for S&P 500 stocks, it quantifies the price impact of option trades on underlying equity prices. Option trades contribute meaningfully to price discovery in the underlying stock, with the effect concentrated in single-leg and limit-order-book trades. The results also support selective delta-hedging by option market makers against orders more likely to be informed. These findings are robust to using continuous absolute delta, to moneyness subsamples, and to partitioning across FOMC announcement, earnings announcement, and non-event days. The second essay, "Growing Up in the Modern World: The Falling Cost of Computing and the Growth of Large versus Small Firms," asks how the cost of computation and data storage relates to firm growth. Using the price per megabyte of memory as a direct measure, it documents that periods of cheaper computation coincide with relatively faster growth of larger, established firms. These associations are modest in magnitude and significance, and detrended robustness checks indicate they are concentrated in the common downward trend of computing costs, not year-to-year variation. This essay accordingly provides suggestive, descriptive evidence of an association between cheaper computation and the relative growth of large firms. Together, these manuscripts advance understanding of the role of information in financial markets, showing how sophisticated trading mechanisms and emerging technologies affect investors and market makers.

Department dc:contributor.department

Business

Year dc:date.issued

2026

Author dc:creator

• Dong, Yun Jiang

Advisor dc:contributor.supervisor

• Jo, Evan

• Finance

Language dc:language.iso

eng

Handle dc:identifier.uri

https://hdl.handle.net/1974/36558

OAI identifier oai:identifier

oai:queensu.scholaris.ca:1974/36558