Download or read book Essays in Microstructure of Futures Markets written by Ahmet Kamil Karagozoglu and published by . This book was released on 1999 with total page 298 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Microstructure of Stock Index Futures Markets written by Alexander Kurov and published by . This book was released on 2004 with total page 141 pages. Available in PDF, EPUB and Kindle. Book excerpt:
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 Essays on the Microstructure of Equity Index Futures Markets written by Sandip Dutta and published by . This book was released on 2007 with total page 125 pages. Available in PDF, EPUB and Kindle. Book excerpt: Previous studies (on NASDAQ and the Chicago Mercantile Exchange) have documented that electronic trades make a dominant contribution to the price discovery process, as compared to floor trades. In this dissertation, I extend the body of literature on the microstructure of electronic trading in financial markets, with particular emphasis on the E-mini futures markets. In the three essays that are documented here, I present a microscopic examination of price dynamics and futures trading in the E-mini futures markets at the Chicago Mercantile Exchange.
Download or read book Essays on the Microstructure of Informed Trading and Hidden Orders in Futures Markets written by Pongsutti Phuensane 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 Essays on the Role of Time volume and Volatitlity in Futures Market Microstructure Evidence from the Mexican Derivatives Exchange written by Lavern McFarlane 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 Essays on the Role of Time Volume and Volatility in Futures Market Microstructure written by Lavern McFarlane and published by . This book was released on 2009 with total page 203 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on the Market Microstructure of E mini and Floor traded Index Futures written by 姜淑美 and published by . This book was released on 2005 with total page 214 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Three Essays in Microstructure of Derivative Markets written by Souliphone Pholsena and published by . This book was released on 2005 with total page 652 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Market Microstructure written by Yoichi Otsubo and published by . This book was released on 2011 with total page 85 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay analyzes the market microstructure of the European Climate Exchange (ECX), the largest European Union Emissions Trading Scheme trading venue. Spreads range from 2 to 6 times the minimum tick increment on European Union Allowances (EUA) futures. Market impact estimates imply that an average trade will move the EUA market by 1.08 euro centimes. Information shares imply that approximately 90% of price discovery is taking place in the ECX futures market. We find imbalances in the order book help predict returns for up to three days. A simple trading strategy that enters the market long or short when the order imbalance is strong is profitable even after accounting for spreads and market impact. The second essay provides a case that the Thompson-Waller (TW) estimator would have downward bias, which has not been carefully discussed in the literature. Such case is that (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price changes associated to such orders are small. The upward bias of the TW estimator would be canceled out by the downward bias, and in such case the estimator would perform better than the other absolute price change methods. The application to the EUA futures contract trading implies that its trading pattern and the price change provide the conditions that reduce the bias of the TW estimator. The Madhavan, Richardson and Roomans model is applied to examine the spread component of the market. A dominance of asymmetric information component in the spread is found. The fraction of the spread attributable to that component increases gradually during the observation period. The final essay examines price discovery of Japanese companies' Tokyo-New York cross-listed shares. Kalman filter is utilized to estimate partial price adjustment model. By employing Kalman filter, the present research can deal with missing values problem researchers has to confront in order to analyze non-overlapping markets such as Tokyo and New York. I find that events with larger magnitude of efficient price change occur during Tokyo opening hours. Dynamic measure shows that New York Stock Exchange is more efficient in price discovery.
Download or read book Three Essays on Market Microstructure and Price Formation in Agricultural Commodity Futures written by Steffen Volkenand and published by . This book was released on 2020* with total page 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 Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.
Download or read book Three Essays on the Microstructure of Exchange Traded Funds written by Van Thuan Nguyen and published by . This book was released on 2005 with total page 153 pages. Available in PDF, EPUB and Kindle. Book excerpt: The second essay examines competition among exchanges for order flow in ETFs. We find that ECNs dominate the market for ETFs. Besides providing superior prices to investors, ECNs also offer non-price services such as speedy execution and anonymity. Given the superior execution services on ECNs and the low adverse selection costs in ETF markets, liquidity traders also trade on ECNs. The results suggest that ECNs satisfy both liquidity and informed traders in the market for ETFs and this explains why they gain substantial order flow. We also find that quote-based competition is prevalent in the market for ETFs. Overall, our study supports the view that multimarket trading is a desirable development that helps cater to investors' diverse needs.
Download or read book Essays in Market Microstructure written by and published by . This book was released on 2009 with total page 196 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first essay investigates whether there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths beyond best prices contain more information than same-side depths at best prices for predicting future option trading activities, which is corroborated by my additional finding that institutional investors are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price 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 Glosten-Harris (1988) measure is the most reliable, that the Huang-Stoll (1997) measure is the least reliable, and that the ranking among the George-Kaul-Nimalendran (1991), Lin-Sanger-Booth (1995), PIN (1996), and Hasbrouck (1991b) measures is ambiguous.
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 Essays in Market Microstructure written by George Glenn Baigent and published by . This book was released on 1997 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
