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 0 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 financial econometrics written by Jiang Liang and published by . This book was released on 2015 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation develops several econometric techniques to address three issues in financial economics, namely, constructing a real estate price index, estimating structural break points, and estimating integrated variance in the presence of market microstructure noise and the corresponding microstructure noise function. Chapter 2 develops a new methodology for constructing a real estate price index that utilizes all transaction price information, encompassing both single-sales and repeat-sales. The method is less susceptible to specification error than standard hedonic methods and is not subject to the sample selection bias involved in indexes that rely only on repeat sales. The methodology employs a model design that uses a sale pairing process based on the individual building level, rather than the individual house level as is used in the repeat-sales method. The approach extends ideas from repeat-sales methodology in a way that accommodates much wider datasets. In an empirical analysis of the methodology, we fit the model to the private residential property market in Singapore between Q1 1995 and Q2 2014, covering several periods of major price fluctuation and changes in government macroprudential policy ..."--Author's abstract.
Download or read book Three Essays in Financial Econometrics written by Jianxun Li 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 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 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 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 Financial Econometrics and Empirical Finance written by Long Kang and published by . This book was released on 2008 with total page 118 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Financial Econometrics and Empirical Market Microstructure written by Anil K. Bera and published by Springer. This book was released on 2014-11-18 with total page 282 pages. Available in PDF, EPUB and Kindle. Book excerpt: In the era of Big Data our society is given the unique opportunity to understand the inner dynamics and behavior of complex socio-economic systems. Advances in the availability of very large databases, in capabilities for massive data mining, as well as progress in complex systems theory, multi-agent simulation and computational social science open the possibility of modeling phenomena never before successfully achieved. This contributed volume from the Perm Winter School address the problems of the mechanisms and statistics of the socio-economics system evolution with a focus on financial markets powered by the high-frequency data analysis.
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:
Download or read book Three Essays on High Frequency Financial Econometrics and Individual Trading Behavior written by and published by . This book was released on 2008 with total page 398 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 Financial Market Microstructure written by Ekaterina V. Malinova and published by . This book was released on 2006 with total page 79 pages. Available in PDF, EPUB and Kindle. Book excerpt: Understanding the forces for price formation and asset trading is the backbone of modern financial economics. In the oldest of adages, people trade because they differ---either informationally or from a risk sharing perspective. My thesis focuses on the former and investigates how asymmetric information affects the behavior of financial market participants, and through it, asset prices and trading volume.
Download or read book Essays on High frequency Financial Econometrics written by Shouwei Liu and published by . This book was released on 2014 with total page 126 pages. Available in PDF, EPUB and Kindle. Book excerpt: "My dissertation consists of three essays which contribute new theoretical and em- pirical results to Volatility Estimation and Market Microstructure theory as well as Risk Management. Chapter 2 extends the ACD-ICV method proposed by Tse and Yang (2012) for the estimation of intraday volatility of stocks to estimate monthly volatility. We compare the ACD-ICV estimates against the realized volatility (RV) and the generalized autoregressive conditional heteroskedasticity (GARCH) estimates. Our Monte Carlo experiments and empirical results on stock data of the New York Stock Exchange show that the ACD-ICV method performs very well against the other two methods. As a 30-day volatility predictor, the Chicago Board Options Exchange volatility index (VIX) predicts the ACD-ICV volatility estimates better than the RV estimates. While the RV method appears to dominate the literature, the GARCH method based on aggregating daily conditional variance over a month performs well against the RV method..."--Author's abstract.
Download or read book Empirical Market Microstructure written by Joel Hasbrouck and published by Oxford University Press. This book was released on 2007-01-04 with total page 323 pages. Available in PDF, EPUB and Kindle. Book excerpt: The interactions that occur in securities markets are among the fastest, most information intensive, and most highly strategic of all economic phenomena. This book is about the institutions that have evolved to handle our trading needs, the economic forces that guide our strategies, and statistical methods of using and interpreting the vast amount of information that these markets produce. The book includes numerous exercises.
Download or read book Three Essays In Cross border Finance written by Moon Sub Choi and published by . This book was released on 2010 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Ph.D. dissertation investigates various areas in financial economics: market microstructure, corporate finance, asset pricing, and financial econometrics. The three comprising essays have a common ground: cross-border finance. Chapter One documents the impact of differential private information on relative asset pricing across borders by studying the probability of informed trading (PIN) for Canadian shares traded on exchanges separated by Niagara Falls. Relative to the New York Stock Exchange (NYSE), the Toronto Stock Exchange (TSX) has more informed trades and accounts for a larger information share, indicating that informed traders contribute to cross-border price discovery. The information imbalance across the two markets is associated with small but positive price premiums for New York trades. The dynamics of these premiums depends on trade informedness. Lastly, the PIN of a TSX -listed share typically rises upon cross-listing on the NYSE, which is consistent with negative abnormal returns of the original listing. The theory of corporate governance suggests that managers of poorly governed firms are more likely to make poor investment decisions, and the evidence on high antitakeover provision (ATP) firms is consistent. In Chapter Two, I study the effect of domestic and foreign takeovers by U.S. firms and find that high-ATP bidders tend to pay relatively high premiums for either targets. While this suggests that these firms make poor decisions, high-ATP bidders also experience relatively high event study returns at times of foreign takeover news. This contradicts the findings of Masulis et al. (2007) for domestic takeovers. Finally, Chapter Three explores the convergence between the prices of American Depositary Receipts (ADRs) listed by Asia-Pacific firms and their original shares listed on home exchanges. Instead of relying on conventional parametric approaches that carry embedded model-specification errors, I contribute to the literature by introducing a nonparametric technique to estimate the convergence speed parameter. I present the time-varying characteristics of both firm and country-level convergence speed parameters. Furthermore, I empirically verify and visually corroborate the comparative dynamics of convergence with respect to short sales restrictions, trading time differences, and market-tier measures proxied by the Morgan Stanley Capital International indices. I conclude that enhancement in market efficiency accelerates the reversion to the parity of ADR -pairs.
Download or read book Selected Essays on Market Microstructure written by Christian Voigt and published by GRIN Verlag. This book was released on 2008 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: Doctoral Thesis / Dissertation from the year 2008 in the subject Business economics - Economic Policy, grade: summa cum laude, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 205 entries in the bibliography, language: English, abstract: The aim of this thesis is to contribute to the existing empirical literature by investigating the strategic behavior of informed and uninformed traders under the light of recent developments. We observe their actual current behavior at financial markets and try to assess whether existing theoretical arguments and assumptions are still valid in the world today, or the newly available rich data samples provide new answers to old questions that researchers have not been able to answer before.
Download or read book Three Essays in Financial Econometrics written by Paskalis Teodoros Glabadanidis and published by . This book was released on 2003 with total page 360 pages. Available in PDF, EPUB and Kindle. Book excerpt:
