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Dissertations / Theses on the topic 'Market's microstructure'

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Published: 4 June 2021

Last updated: 4 February 2022

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1

Stork, Christopher Oliver. "Microstructure of option markets without market makers." Thesis, London Metropolitan University, 2000. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.343195.

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2

Cho, Young-Hye. "Time-varying betas and market microstructures in option markets /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2000. http://wwwlib.umi.com/cr/ucsd/fullcit?p9981964.

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3

Zebedee, Allan A. "The flow of information in financial markets : a market microstructure examination /." Diss., Connect to a 24 p. preview or request complete full text in PDF format. Access restricted to UC campuses, 2001. http://wwwlib.umi.com/cr/ucsd/fullcit?p3026388.

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4

Aidov, Alexandre. "Three Essays on Market Depth in Futures Markets." FIU Digital Commons, 2013. http://digitalcommons.fiu.edu/etd/974.

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Liquidity is an important market characteristic for participants in every financial market. One of the three components of liquidity is market depth. Prior literature lacks a comprehensive analysis of depth in U.S. futures markets due to past limitations on the availability of data. However, recent innovations in data collection and dissemination provide new opportunities to investigate the depth dimension of liquidity. In this dissertation, the Chicago Mercantile Exchange (CME) Group proprietary database on depth is employed to study the dynamics of depth in the U.S. futures markets. This dat

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5

FERNANDES, ANDRE VENTURA. "MICROSTRUCTURE OF BRAZILIAN FX MARKET: COMPARISON OF THE SPOT AND FUTURES MARKETS." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=11912@1.

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COORDENAÇÃO DE APERFEIÇOAMENTO DO PESSOAL DE ENSINO SUPERIOR<br>FUNDAÇÃO DE APOIO À PESQUISA DO ESTADO DO RIO DE JANEIRO<br>O objetivo deste trabalho é comparar o mercado à vista e futuro de câmbio no Brasil, buscando identificar em qual dos mercados se dá a formação da taxa de câmbio. Analisa-se o funcionamento do mercado cambial no seu nível micro, isto é, nas suas instituições e nas assimetrias dos seus participantes, através da abordagem da microestrutura. Utiliza-se uma base de dados que contém 100% das propostas de compra, venda e dos negócios fechados dos pregões de dólar futuro e do me

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6

Tse, Jonathan. "Market microstructure modelling." Thesis, University of Oxford, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.540272.

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7

Demarquette, Maximilien. "Essais en microéconomie financière et appliquée." Thesis, Paris 2, 2016. http://www.theses.fr/2016PA020006/document.

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Cette thèse est composée de trois articles indépendants qui ont pour trait commun d’analyser le comportement d’investisseurs et de firmes en situation de concurrence imparfaite. Nous considérons d’abord un modèle de marché financier à la Kyle (1985) où les investisseurs peuvent produire soit un signal (fondamental) sur la valeur d’un actif risqué, soit un signal (non-fondamental) sur la demande aléatoire des noise traders. Nous montrons que réduire le coût du signal non-fondamental détériore l’efficience informationnelle du prix du titre et,sous certaines conditions, le bien-être des noise tra

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8

Oztekin, Ahmet Senol. "Microstructure Characteristics of U.S. Futures Markets." FIU Digital Commons, 2014. http://digitalcommons.fiu.edu/etd/1559.

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Prior finance literature lacks a comprehensive analysis of microstructure characteristics of U.S. futures markets due to the lack of data availability. Utilizing a unique data set for five different futures contract this dissertation fills this gap in the finance literature. In three essays price discovery, resiliency and the components of bid-ask spreads in electronic futures markets are examined. In order to provide comprehensive and robust analysis, both moderately volatile pre-crisis and volatile crisis periods are included in the analysis. The first essay entitled “Price Discovery and Liq

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9

Perlin, Marcelo. "The microstructure of fixed income markets : Theory and evidence for the european bond market." Thesis, Henley Business School, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.533738.

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10

Hoffmann, Peter. "Essays in Market Microstructure." Doctoral thesis, Universitat Pompeu Fabra, 2011. http://hdl.handle.net/10803/38703.

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This thesis covers three topics in Market Microstructure. Chapter 1 demonstrates that market access frictions may play a significant role in the competition between trading platforms. Analyzing a recent dataset of the trading activity in French and German stocks, we provide evidence that the incumbent markets dominate because the sole market entrant exposes liquidity providers to an excessive adverse selection risk due to a lack of noise traders. Chapter 2 presents a theoretical model of price formation in a dynamic limit order market with slow human traders and fast algorithmic traders. We sh

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11

Wang, Qin. "Essays in Market Microstructure." Diss., The University of Arizona, 2009. http://hdl.handle.net/10150/195100.

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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 aggressiv

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12

Lew, Sean. "Essays on market microstructure." Thesis, London School of Economics and Political Science (University of London), 2012. http://etheses.lse.ac.uk/703/.

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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 empiric

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13

Lin, Hao. "Essays in market microstructure." Thesis, University of Warwick, 2006. http://wrap.warwick.ac.uk/4421/.

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Market making is central to the study of market microstructure. Market makers stand ready to provide liquidity, market stability and price discovery, issues of great importance to regulators, practitioners and academics. This thesis contributes to the literature by studying four topical issues related to market making. The thesis consists of four essays. In the first essay we develop a simple multi-period model of market making for a monopolistic stock market maker. The market maker tries to solve simultaneously the problems of managing his inventory and trading with informed traders. He uses

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14

Saporta, Victoria. "Essays on market microstructure." Thesis, University of Cambridge, 1997. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.311019.

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15

Yin, Hao. "Essays on market microstructure." [Bloomington, Ind.] : Indiana University, 2008. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3319894.

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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2008.<br>Title from PDF t.p. (viewed on May 11, 2009). Source: Dissertation Abstracts International, Volume: 69-08, Section: A, page: 3258. Advisers: Craig Holden; Konstantin Tyurin.

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16

Eikeboom, Arnout M. (Arnout Michiel). "Essays in market microstructure." Thesis, Massachusetts Institute of Technology, 1993. http://hdl.handle.net/1721.1/12232.

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17

Palazzo, Francesco. "Essays in market microstructure." Thesis, London School of Economics and Political Science (University of London), 2015. http://etheses.lse.ac.uk/3134/.

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This dissertation contains three theoretical essays on the functioning and the organization of over the counter markets. The first paper, "Is Time Enough to Alleviate Adverse Selection?," considers a dynamic adverse selection model in which sellers pay a search cost to find a new buyer. I uncover a relationship between adverse selection and the magnitude of search costs. Interestingly, small search costs may increase the severity of the adverse selection problem, ultimately leading to a lemons market. A market design intervention may mitigate adverse selection and promote full market participa

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18

Söderberg, Jonas. "Essays on the Scandinavian stock markets /." Växjö : Växjö University Press, 2009. http://urn.kb.se/resolve?urn=urn:nbn:se:vxu:diva-2449.

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19

Tao, Libin, and 陶利斌. "Essays on microstructure of Hong Kong markets." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2008. http://hub.hku.hk/bib/B40987747.

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20

Han, Zhaohui. "Essays in microstructure of limit order markets." [Bloomington, Ind.] : Indiana University, 2007. http://gateway.proquest.com/openurl?url_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:dissertation&res_dat=xri:pqdiss&rft_dat=xri:pqdiss:3301314.

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Thesis (Ph.D.)--Indiana University, Dept. of Economics, 2007.<br>Title from dissertation home page (viewed Sept. 26, 2008). Source: Dissertation Abstracts International, Volume: 69-02, Section: A, page: 0697. Adviser: Konstantin Tyurin.

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21

Tao, Libin. "Essays on microstructure of Hong Kong markets." Click to view the E-thesis via HKUTO, 2008. http://sunzi.lib.hku.hk/hkuto/record/B40987747.

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22

Caldron-Morales, Camilo. "Microstructure markets, strategy and exchange rate determination." Thesis, Bournemouth University, 2016. http://eprints.bournemouth.ac.uk/25042/.

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The main contribution of this empirical research is to demonstrate that agents’ strategies are important in the exchange rate determination. This research shows that strategic objectives are heterogeneous particularly when they are related to the expectations with respect to volatility. Trading strategies contribute to solving the empirical problem of explaining exchange rates. In this connection, the main research question addresses how far strategies are important in the exchange rates determination. The concept of strategy includes a) the strategic objectives, b) the trading strategies and

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23

Cheung, Ming-yan William. "Market microstructure of an order driven market." Click to view the E-thesis via HKUTO, 2005. http://sunzi.lib.hku.hk/hkuto/record/B3203782X.

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Cheung, Ming-yan William, and 張明恩. "Market microstructure of an order driven market." Thesis, The University of Hong Kong (Pokfulam, Hong Kong), 2005. http://hub.hku.hk/bib/B3203782X.

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25

Davies, Ryan. "Topics in financial market microstructure." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 2001. http://www.collectionscanada.ca/obj/s4/f2/dsk3/ftp05/NQ63416.pdf.

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26

Papavassiliou, Vassilios. "Essays on equity market microstructure." Thesis, Queen's University Belfast, 2010. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.527887.

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27

Banti, Chiara. "Essays in FX market microstructure." Thesis, City University London, 2013. http://openaccess.city.ac.uk/2956/.

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The thesis presents three papers in the field of international finance and provides a study of the foreign exchange (FX) market from a microstructure perspective. From the empirical identification of a common component in liquidity across currencies, referred to as FX market liquidity, the thesis investigates its asset pricing implications, determinants and cross-market dynamics. The first paper is an empirical study of global liquidity risk in the FX market. Estimating liquidity with the Pastor-Stambaugh measure originally developed for the stock market, the paper documents strong liquidity c

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28

Long, Hannah Jade. "Empirical studies of market microstructure." Thesis, University of Bristol, 2017. https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.738537.

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29

Wyart, Matthieu. "Conventions, Price Fluctuations and microstructure of Financial Markets." Phd thesis, Ecole Polytechnique X, 2005. http://tel.archives-ouvertes.fr/tel-00011183.

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Les fluctuations des cours de la bourse ont des propriétés étonnantes. La volatilité (l'amplitude de ces fluctuations) est environ un ordre de grandeur plus grand que les prédictions de la théorie des marches efficients, et est corrèlee sur des échelles de temps très longs. Les agents sur réagissent aux informations. On montre que ces propriétés apparaissent lorsque les agents agissent en fonction de leur expérience et du passe du marché. On étudie aussi la microstructure des marchés, qui régulent les échanges aux temps courts. On explique pourquoi le prix est diffusif bien que les ordres marc

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30

Kyriacou, Myria. "Foreign exchange market microstructure and forecasting." Thesis, City University London, 2009. http://openaccess.city.ac.uk/8717/.

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Using two unique datasets, one at a daily frequency including six currency pairs, and another tick-by-tick dataset in €/US$, we investigate some of the unanswered questions in the field of foreign exchange market microstructure. We confirm the contemporaneous relationship between flows and exchange rates found in the literature in the daily data, but in the forecasting experiments we find no forecasting power, regardless of model, history used forecast horizon or currency pair. The forecasting performance is not improved by considering a system of exchange rates, or by evaluating based on dire

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31

Creswell, Philip N. "Market microstructure : the automated order book." Thesis, University of Edinburgh, 2004. http://hdl.handle.net/1842/24500.

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This thesis examines the efficiency and implications of the market microstructure provided by the London Stock Exchange (LSE), extending the framework of O’Hara (1995), Parlour (1998) and Madhavan (2000) to accommodate the idiosyncrasies of the Stock Exchange Trading System (SETS) and the Stock Exchange Automated Quotation System (SEAQ). First, we offer a comparison of the two trading platforms using the methodology of Haung and Stoll (1996) and Venkataraman (2001) to show that the SETS order book is a more efficient platform, although it has a limited ability to cope with large orders. We com

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32

Jankowitsch, Rainer, Amrut Nashikkar, and Marti G. Subrahmanyam. "Price Dispersion in OTC Markets: A New Measure of Liquidity." Elsevier, 2010. http://dx.doi.org/10.1016/j.jbankfin.2010.08.016.

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In this paper, we model price dispersion effects in over-the-counter (OTC) markets to show that, in the presence of inventory risk for dealers and search costs for investors, traded prices may deviate from the expected market valuation of an asset. We interpret this devia- tion as a liquidity effect and develop a new liquidity measure quantifying the price dispersion in the context of the US corporate bond market. This market offers a unique opportunity tofstudy liquidity effects since, from October 2004 onwards, all OTC transactions in this marketfhave to be reported to a common database

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33

Aristidou, Antonis. "Market microstructure issues related to the Greek capital market." Thesis, City University London, 2007. http://openaccess.city.ac.uk/8515/.

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Since the stock market crash of October 1987, academics and policy makers have been very concerned about the causes of the crash and whether the microstructure of the equity market should be redesigned to protect the market from drastic fluctuations. For their concerns, circuit breakers have been recommended as the mechanisms for the market stabilisation and for reducing the volatility of the stock market. Empirical and theoretical studies carried out so far have not been able to conclusively resolve the debate on the effects of circuit breakers on financial markets. As a result, this thesis a

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34

Dutta, Sandip. "Essays on the microstructure of equity index futures markets /." Available to subscribers only, 2007. http://proquest.umi.com/pqdweb?did=1464595251&sid=12&Fmt=2&clientId=1509&RQT=309&VName=PQD.

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Thesis (Ph. D.)--Southern Illinois University Carbondale, 2007.<br>"Department of Economics." Keywords: Microstructure, Equity index futures, Futures markets Includes bibliographical references (p. 91-96). Also available online.

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35

Júnior, Geraldo Costa. "Essays on the microstructure of emerging commodities futures markets." Universidade de São Paulo, 2017. http://www.teses.usp.br/teses/disponiveis/11/11132/tde-14032018-123849/.

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Commodities futures trading went through unparalleled structural transformation during the first decade of the 2000s, which ultimately resulted in long lasting impacts on the volume and open interest levels as well as on the access to these markets and inclusion of new participants. Benefiting from the new sets of high frequency data made available due to these transformations, this dissertation is composed of three papers that investigate different market microstructure aspects of the commodities futures markets at BM&F-Bovespa. The first paper analyzes the modelling and forecasting of realiz

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36

Voigt, Christian [Verfasser]. "Selected Essays on Market Microstructure / Christian Voigt." München : GRIN Verlag, 2008. http://d-nb.info/1189316668/34.

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37

Ibikunle, G. "Financial market microstructure of EU emissions futures." Thesis, University of East Anglia, 2012. https://ueaeprints.uea.ac.uk/39452/.

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38

Cai, Xiaowu. "Market microstructure of the London Stock Exchange." Thesis, University of Leeds, 2004. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.403044.

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39

HECK, SYLVIO KLEIN TROMPOWSKY. "ESSAYS IN CURRENCY RISK AND MARKET MICROSTRUCTURE." PONTIFÍCIA UNIVERSIDADE CATÓLICA DO RIO DE JANEIRO, 2008. http://www.maxwell.vrac.puc-rio.br/Busca_etds.php?strSecao=resultado&nrSeq=13054@1.

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CONSELHO NACIONAL DE DESENVOLVIMENTO CIENTÍFICO E TECNOLÓGICO<br>Esta tese de doutorado compõe-se de três artigos, sendo dois em finanças empíricas e um em microestrutura de mercado. O primeiro artigo estuda de que forma movimentos nas curvas de juros futuros em Reais e Dólares Americanos negociados na BM&F estariam relacionados com duas medidas de prêmio de risco cambial, uma à priori, calculada com base nas expectativas de variação cambial três meses à frente apuradas pelo Focus-BC, e outra à posteriori, calculada sobre a variação cambial efetiva realizada nos mesmos três meses. Os resultado

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40

Zhang, Hanyu. "Essays on intraday volatility and market microstructure." Thesis, University of Reading, 2017. http://centaur.reading.ac.uk/72225/.

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This work makes three main contributions to the financial econometrics literature. In Chapter 3, we study the intraday volatility of European government bonds under the framework of the multiplicative component GARCH model (Engle and Sokalska, 2012). We suggest a flexible and effective procedure for jointly filtering mid-quote prices and estimating volatility models and show that intraday data contain relevant information for daily volatility forecasts. In Chapter 4, we show that a bond portfolio can reduce its intraday variance risk by including bonds from Italy and Spain. Furthermore, we dem

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41

Leika, Mindaugas. "System dynamics, market microstructure and asset pricing." Thesis, Massachusetts Institute of Technology, 2013. http://hdl.handle.net/1721.1/81065.

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Thesis (M.B.A.)--Massachusetts Institute of Technology, Sloan School of Management, 2013.<br>Cataloged from PDF version of thesis.<br>Includes bibliographical references (p. 57-59).<br>Traditional asset pricing approaches are not able to explain extreme volatility and tail events that characterized financial markets in the past decade. System Dynamics theory, which is still underutilized in financial modeling, could help researchers to model stock market dynamics, explain and simulate extreme events. This paper proposes an artificial stock market model, which can be used to simulate stock mark

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42

Panizzo, Jose Manuel Carrera. "Market microstructure of the foreign exchange market : lessons from Mexico." Thesis, Lancaster University, 1998. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.302418.

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43

Gonzalez, Maiz Jimenez Jaime. "The implicit impact of cross-listing on stock prices| A market microstructure perspective - The case of Latin American markets." Thesis, Instituto Tecnologico y de Estudios Superiores de Monterrey (Mexico), 2014. http://pqdtopen.proquest.com/#viewpdf?dispub=3585553.

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<p> The main objective of this dissertation is to evaluate the unexpressed effect of Cross-Listing on stock prices of Companies from Latin America, in particular, I expect stock prices to get closer to their intrinsic or true value after cross-listing. Specifically, I test the impact of the issuance of ADRs on two market microstructure variables, namely, volatility and efficiency, which will be assessed throughout the usage of three models: the GARCH model, which measures the impact on volatility, second, the news impact curve, which assesses the effect of volatility over bad news, and third,

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44

Marcus, Elwin. "Simulating market maker behaviour using Deep Reinforcement Learning to understand market microstructure." Thesis, KTH, Skolan för elektroteknik och datavetenskap (EECS), 2018. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-240682.

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Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. As a result, previously establishedmethods in the field of market microstructure becomes oftenfaulty or insufficient. Machine learning and, in particular, reinforcementlearning has become more ubiquitous in both finance and otherfields today with applications in trading and optimal execution. This thesisuses reinforcement learning to understand market

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Molander, Lukas, and Shih Jung Yape. "Toxicity Levels of Stock Markets : Observing Information Asymmetry in a Multi-Market Setting." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-209791.

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The presence of toxic order ow and predatory HFT strategies in a multi-market setting are scarcely researched in the academic world. This thesis studies the toxicity levels of a set of markets by examining unconsolidated quote data and firm specific trade data. A method for deducing the markets toxicity levels is presented along with proxies for toxic order ow, namely: changes in spread and quoted volume, following a trade in a given market. We find both signs of toxicity and different toxicity levels between the markets. However, the results are lacking in statistical significance but they sh

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Al-Suhaibani, Mohammad. "Three essays on the market microstructure of the Saudi stock market." Thesis, National Library of Canada = Bibliothèque nationale du Canada, 1998. http://www.collectionscanada.ca/obj/s4/f2/dsk1/tape10/PQDD_0004/NQ39618.pdf.

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47

Peng, Ke. "Essays on the market microstructure of London fixed income securities market." Thesis, University of Strathclyde, 2006. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.426357.

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48

Nie, Jing. "Three essays on the empirical market microstructure of money market derivatives." Thesis, Durham University, 2016. http://etheses.dur.ac.uk/11614/.

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This thesis is the first directly to study the entire limit order book of a large market. Herein, I conduct a population study on the microstructure of the Eurodollar future market, to my knowledge this is a) the first study of its type and b) the largest microstructure study ever conducted. I will build a data-drive model that incorporates information from the entire population of quotes updates and transactions on this type of future market. This thesis aims to provide a comprehensive understanding of the market microstructure on money market derivatives and the impact of high-speed algorith

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49

Phetcharakupt, Veeraphat. "Essays on market microstructure : empirical studies on the Thai stock market." Thesis, University of Essex, 2008. http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.486569.

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In this thesis, there are three essays on empirical market microstructure. The fIrst essay extends the study of the stealth trading hypothesis of Barclay and Warner (1993) that informed traders submit average size trades in order to minimize the price impact of their trades. After distinguishing between three types ofprice impact classifIed by source, I fInd that informed traders are more inclined to submit medium-size limit orders in order to take advantage from incoming small-size market orders of uninformed traders. Therefore, the fmdings are consistent with tl}e stealth trading hypothesis.

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Deji-Olowe, Adeola. "Essays on investor trading activity in a limit order book market." Thesis, University of Manchester, 2014. https://www.research.manchester.ac.uk/portal/en/theses/essays-on-investor-trading-activity-in-a-limit-order-book-market(0a43bc1f-345f-4d65-9164-bb034ce4595d).html.

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This thesis consists of three essays examining the impact and consequences of the trading behaviour of a finely disaggregated category of investors in an electronic limit order book equity market, the Malta Stock Exchange (MSE). The three essays in market microstructure are closely related and examine how investor heterogeneity impacts the informational content of the limit order book, the informational content of individual trades, the price impact of investor trades, the aggressiveness of order submission strategies and the price discovery process within such a market. The first essay invest

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