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Essays In Market Microstructure
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Book Synopsis Essays on Market Microstructure by : Sean Lew
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.
Book Synopsis Selected Essays on Market Microstructure by : Christian Voigt
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.
Book Synopsis Essays in Market Microstructure by : Qin Wang
Download or read book Essays in Market Microstructure written by Qin Wang and published by . This book was released on 2000 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : Shmuel Baruch
Download or read book Essays in Market Microstructure written by Shmuel Baruch and published by . This book was released on 1998 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Market Microstructure with Uncertain Information Precision, Optimal Information Sales, and Overconfidence by : Simon Gervais
Download or read book Essays on Market Microstructure with Uncertain Information Precision, Optimal Information Sales, and Overconfidence written by Simon Gervais and published by . This book was released on 1997 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Market Microstructure by : Masahiro Yamada
Download or read book Essays on Market Microstructure written by Masahiro Yamada and published by . This book was released on 2012 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : George Glenn Baigent
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:
Book Synopsis Selected Essays on Market Microstructure by : Christian Voigt
Download or read book Selected Essays on Market Microstructure written by Christian Voigt and published by GRIN Verlag. This book was released on 2008-09-10 with total page 159 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 Schloß Reichartshausen Oestrich-Winkel, 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.
Book Synopsis Two Essays in Market Microstructure by : Xin Zhao
Download or read book Two Essays in Market Microstructure written by Xin Zhao and published by . This book was released on 2004 with total page 174 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by :
Download or read book Essays in Market Microstructure written by and published by . This book was released on 2008 with total page 334 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays on Market Microstructure by : Victoria Saporta
Download or read book Essays on Market Microstructure written by Victoria Saporta and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : Arnout Michiel Eikeboom
Download or read book Essays in Market Microstructure written by Arnout Michiel Eikeboom and published by . This book was released on 1993 with total page 352 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : Elizabeth R. Odders-White
Download or read book Essays in Market Microstructure written by Elizabeth R. Odders-White and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis contributes to the market microstructure literature by examining the validity of an empirical methodology that is widely used not only in the market microstructure literature, but in all areas of finance, and by providing new insight into the way in which New York Stock Exchange specialists determine price schedules for their stocks.
Book Synopsis Two Essays on Market Microstructure by : Neela Mohan N. Gollapudi
Download or read book Two Essays on Market Microstructure written by Neela Mohan N. Gollapudi and published by . This book was released on 1999 with total page 408 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : Riccardo Calcagno
Download or read book Essays in Market Microstructure written by Riccardo Calcagno and published by . This book was released on 2001 with total page 179 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : Vesna Štraser
Download or read book Essays in Market Microstructure written by Vesna Štraser and published by . This book was released on 2002 with total page 342 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in Market Microstructure by : Patrick Schaffner
Download or read book Essays in Market Microstructure written by Patrick Schaffner and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
