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Author : Sugato Chakravarty
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (297 download)
Download or read book Essays in Market Microstructure Issues written by Sugato Chakravarty and published by . This book was released on 1993 with total page 324 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Sean Lew
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (862 download)
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.
Author : Christian Voigt
Publisher : GRIN Verlag
ISBN 13 : 3640161289
Total Pages : 166 pages
Book Rating : 4.6/5 (41 download)
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.
Author : Simon Gervais
Publisher :
ISBN 13 :
Total Pages : 324 pages
Book Rating : 4.:/5 (34 download)
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:
Author : Franklin A. Michello
Publisher :
ISBN 13 :
Total Pages : 322 pages
Book Rating : 4.:/5 (438 download)
Download or read book Three Essays on Market Microstructure Issues Related to the Johannesburg Stock Exchange written by Franklin A. Michello and published by . This book was released on 1999 with total page 322 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Shmuel Baruch
Publisher :
ISBN 13 :
Total Pages : 68 pages
Book Rating : 4.:/5 (247 download)
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:
Author : Qin Wang
Publisher :
ISBN 13 : 9781109127584
Total Pages : 99 pages
Book Rating : 4.1/5 (275 download)
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:
Author : Masahiro Yamada
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (835 download)
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:
Author : Yenan Wang
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.4/5 (64 download)
Download or read book Essays on and Beyond Market Microstructure written by Yenan Wang and published by . This book was released on 2021 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: My dissertation consists of two parts. The first part examines standard microstructure topics from new perspectives. Chapter 2 investigates the market implications of high-frequency trading focusing on an ignored channel that existing market makers might reduce the capital exploited in market making facing the competition from high-frequency traders. I find that more high-frequency trading might not improve market quality exactly because of this channel. My model also generates several policy suggestions in improving the market quality with the presence of high-frequency trading. Chapter 3 studies the large traders' execution problem to understand whether electronic trading brings execution advantage. I find that although an increase in trading frequency improves their executions, losing the ability to adopt reputation-based trading strategies due to the prevalence of anonymous trading in this electronic trading era can be so costly that large traders become worse-off in execution. Chapter 4 considers an insider trading problem with uncertainty over the insider's existence. The competitive market making assumption is not consistent with this new element because the insider can achieve an unbounded payoff by taking advantage of the competition. Instead, I construct and analyze the equilibrium under the assumption of monopolistic market making. The model can explain the heterogeneous changes in liquidity of different stocks after a regulation.The second part of my dissertation study two elements outside the scope of current microstructure literature but (in my opinion) are important and should be incorporated to achieve a comprehensive understanding of financial markets. Chapter 5 studies an attention allocation problem under the context of contract and information design. The principal needs to jointly design compensation for the agent and his attention allocation in acquiring signals to motivate the agent to exert the unobservable effort. The flexibility to allocate attention can lead to perpetual cooperation between the principal and the agent. Chapter 6 studies belief updating when the state space contains elements that we are not aware of with an axiomatic approach. The agent can learn from what he is currently aware of and updates his belief when awareness is related to the state realization. In this case, besides leading to Bayesian updating, the arrival of a new signal can also expand the agent's awareness and trigger further updating. Its implication is discussed under the context of persuasion.
Author : George Glenn Baigent
Publisher :
ISBN 13 :
Total Pages : 162 pages
Book Rating : 4.:/5 (391 download)
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:
Author : Yi Xue
Publisher :
ISBN 13 :
Total Pages : 294 pages
Book Rating : 4.:/5 (112 download)
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.
Author : Keith Jakob
Publisher :
ISBN 13 :
Total Pages : 172 pages
Book Rating : 4.:/5 (449 download)
Download or read book Two Essays in Empirical Market Microstructure written by Keith Jakob and published by . This book was released on 2000 with total page 172 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation contains two empirical market-microstructure essays. Both incorporate information from the TORQ database but are otherwise unrelated and deal with separate issues in the finance literature. The first essay empirically examines an existing asymmetric information model from the microstructure literature. The second essay examines the order arrival process around dividends.
Author : Xin Zhao
Publisher :
ISBN 13 :
Total Pages : 174 pages
Book Rating : 4.:/5 (574 download)
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:
Author :
Publisher :
ISBN 13 :
Total Pages : 334 pages
Book Rating : 4.:/5 (921 download)
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:
Author : Arnout Michiel Eikeboom
Publisher :
ISBN 13 :
Total Pages : 352 pages
Book Rating : 4.:/5 (36 download)
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:
Author : Victoria Saporta
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (595 download)
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:
Author : Neela Mohan N. Gollapudi
Publisher :
ISBN 13 :
Total Pages : 408 pages
Book Rating : 4.:/5 (477 download)
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:
