Download or read book Three Essays in Market Microstructure written by Amitabh Arora and published by . This book was released on 1997 with total page 116 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Market Microstructure written by Timothy Falcon Crack and published by . This book was released on 1996 with total page 274 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three essays in market microstructure theory written by Giovanni Cespa and published by . This book was released on 1999 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays in Market Microstructure written by Tatayana V. Zabotina and published by . This book was released on 2002 with total page 186 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Market Microstructure written by Sukwon Kim and published by . This book was released on 2009 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Berlusconi Silvio 1936 written by and published by . This book was released on 1992 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Zeitungsausschnitte (1992-2000).

Download or read book Three Essays on Market Microstructure and Financial Econometrics written by Yi Xue and published by . This book was released on 2009 with total page 294 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis consists of three essays that study three interdependent topics: microstructure foundation of volatility clustering, inefficiency of information diffusion and jump detection in high frequency financial time series data. Volatility clustering, with autocorrelations of the hyperbolic decay rate, is unquestionably one of the most important stylized facts of financial time series. The first essay forms Chapter 1 which presents a market microstructure model that is able to generate volatility clustering with hyperbolic autocorrelations through traders with multiple trading frequencies using Bayesian information updating in an incomplete market. The model illustrates that signal extraction, which is induced by multiple trading frequency, can increase the persistence of the volatility of returns. Furthermore, it is shown that the local temporal memory of the underlying time series of returns and their volatility varies greatly with the number of traders in the market. The second essay, Chapter 2, presents a market microstructure model showing that an increasing number of information hierarchies among informed competitive traders leads to a slower information diffusion rate and informational inefficiency. The model illustrates that informed traders may prefer trading with each other rather than with noise traders in the presence of the information hierarchies. Furthermore, it is shown that momentum can be generated from the trend following behavior pattern of noise traders. I propose a new nonparametric test based on wavelets to detect jump arrivals in high frequency financial time series data, in the third essay, Chapter 3. It is demonstrated that the test is robust for different specifications of price processes and the presence of market microstructure noise and it has good size and power. Further, I examine the multi-scale jump dynamics in U.S. equity markets and the findings are as follows. First, the jump dynamics of equities are entirely different across different time scales. Second, although arrival densities of positive jumps and negative jumps are symmetric across different time scales, the magnitude of jumps is distributed asymmetrically at high frequencies. Third, only twenty percent of jumps occur in the trading session from 9:30AM to 4:00PM, suggesting that jumps are largely determined by news rather than liquidity shocks.

Download or read book Three Essays on Empirical Market Microstructure written by Rahul Ravi and published by . This book was released on 2007 with total page 314 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Market Microstructure written by Daejin Kim and published by . This book was released on 2014 with total page 135 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Market Microstructure written by Sean Lew and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contains three essays on market microstructure. Chapter 1 studies how endogenous information acquisition affects financial markets by modelling potentially informed traders who optimally acquire variable information at increasing cost. Prices affect the informed trading by providing incentives for acquiring information. Endogenous information acquisition explains the stylised facts that informed trading and transaction volume spike after informational events and fall over time. My model also tells a cautionary tale for interpreting measures of informed trading. Three common empirical proxies derived under the exogenous assumption (spreads, Easley O'Hara's PIN and blockholder interest) do not agree with each other in my setup. Chapter 2 develops a more general framework with endogenous information acquisition which I use to examine the behaviour of an optimal monopolistic market maker. Unlike a competitive market maker, he sets prices to increase information revelation which is valuable to him. I characterise market information structure by whether narrower or wider spreads increase the information revealed by trades. An optimal monopolistic market maker may behave differently from the standard exogenous information benchmark. He may set narrower spreads in early periods. On average, spreads may widen over time. The different results arise from the interaction of a monopolistic market maker with endogenous information acquisition. Chapter 3 studies the impact of confidential treatment requests made by institutional investors to the Securities and Exchange Commission (SEC) to delay disclosure of their holdings. The SEC requires the manager to present a coherent on-going trading program in his request for confidential treatment. If granted, he is restricted to trade in a manner consistent with his reported forecast in the subsequent period. Under the restriction, the manager earns higher expected profits by applying for confidential treatment only if his probability of success exceeds a threshold. The model predicts that the price impact of a disclosed trade due to a confidential treatment request denial is greater than that of a disclosed trade where there is no request.

Download or read book Three Essays on the Market Microstructure and Security Design in Futures Markets written by Andrew Seong Kiat Tan and published by . This book was released on 2005 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Insider Trading Asymmetric Information and Market Liquidity written by Minh Tue Vo and published by . This book was released on 2002 with total page 212 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The second essay examines trading behavior, price behavior and the informational efficiency and the informativeness of the price process in the equilibrium of a strategic trading game when some investors receive information before others. We show that the early informed investor may trade against his information to maintain his information superiority over the market. Under some conditions, subsequent price changes are positively correlated. We also find that the price process is less efficient and less informative than would be the case where there is no late-informed trader." --

Download or read book Three Essays in Corporate Finance and Market Microstructure written by and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Information Asymmetries Three Essays in Market Microstructure written by Lars Simon Zehnder and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Empirical Market Microstructure of Money Market Derivatives written by Jing Nie and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on the Market Microstructure of U S Corporate Bond Markets written by Brian Mattmann and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Markets written by Min Hwang and published by . This book was released on 2001 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt: