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Dissertations / Theses on the topic 'Market microstructure'

Author: Grafiati

Published: 4 June 2021

Last updated: 25 July 2025

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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

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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3

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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4

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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5

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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6

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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7

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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8

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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9

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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10

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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11

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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12

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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13

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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14

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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15

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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16

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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17

Schneider, Michael Thomas. "Market microstructure, price impact and liquidity in fixed income markets." Doctoral thesis, Scuola Normale Superiore, 2018. http://hdl.handle.net/11384/85739.

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18

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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19

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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20

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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21

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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22

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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23

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

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24

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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25

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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26

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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27

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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28

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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29

Contreras, Eitner Alfredo. "Essays in Rational Inattention and Market Microstructure." Doctoral thesis, Universitat Autònoma de Barcelona, 2021. http://hdl.handle.net/10803/673962.

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En la meva dissertació, dono una explicació a diferents anomalies de preus dels actius en el mercat financer a l'caracteritzar els conjunts d'informació dels que interactuen en ell mateix. En particular, estudi dels efectes d'enfrontar una restricció en el volum d'informació que un actor pot processar. Per a això, desenvolupament una anàlisi des d'una perspectiva de la microestructura de mercat financer, on un grup d'inversors té accés a informació privilegiada sobre els actius negociats. Trobo que aquestes anomalies poden originar quan un agent racional enfronta una restricció en el volum d'i

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30

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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31

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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32

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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33

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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34

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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35

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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36

Vo, Minh Tue 1965. "Insider trading, asymmetric information, and market liquidity : three essays on market microstructure." Thesis, McGill University, 2002. http://digitool.Library.McGill.CA:80/R/?func=dbin-jump-full&object_id=38528.

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This thesis comprises three essays on market microstructure, focusing on the issues of insider trading, asymmetric information and market liquidity. The first essay examines the effects of the mandatory disclosure regulations on the trading behavior of informed traders. Specifically, we compare the (perfect Bayesian) equilibrium when disclosure is mandatory to the equilibrium when insiders do not have to disclose their trades. We show that under mandatory disclosure the market becomes more efficient and more liquid, making the uninformed traders unambiguously better off. We also show that in o

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37

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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38

Ji, Shan Banking &amp Finance Australian School of Business UNSW. "Security market manipulations and the assurance of market integrity." Awarded by:University of New South Wales. Banking & Finance, 2009. http://handle.unsw.edu.au/1959.4/44724.

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This dissertation is motivated by two major factors. First, there have been no direct studies conducted for the relationship between market integrity and market efficiency and the driving forces behind the cross-sectional variations in market quality. Second, a better understanding the relationships among market integrity, market efficiency and other mechanism design factors for securities exchanges will facilitate securities exchanges achieve a satisfactory level of market quality. This dissertation consists of three chapters. In Chapter 1, a review of literature on market manipulation will

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39

Faciane, Kirby. "Empirical market microstructure of the FTSEurofirst index futures." Thesis, University of St Andrews, 2010. http://hdl.handle.net/10023/1975.

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This thesis is among the first market microstructure studies of an index futures market with designated market makers in the academic literature. The purpose of this thesis is to investigate intraday patterns of key variables, the relative size of the components of the quoted bid-ask spread, and the order decisions of uninformed traders, in a continuous dealer market for index futures with market makers. Overall, our findings aim to contribute to a better understanding of the roles of market makers and public customers in price formation. Intraday patterns of financial market variables such as

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40

Cai, Minnan. "The Chinese equity market : characteristics, microstructure and efficiency." Thesis, University of Leeds, 2005. http://etheses.whiterose.ac.uk/621/.

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The purpose of this research is to examine various issues about market efficiency and market microstructure in the Chinese equity market. Where. to date, there has been relatively little attention. Specifically. this thesis intends to answer the following questions. Is the Chinese equity market efficient? If not, has it been evolving towards efficiency over the years? What are the intraday patterns of price behaviour? Which trades move prices? Finally, does Chinese investors' psychology have effects on prices? In order to answer these questions four sets of empirical analysis have been underta

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41

Bielagk, Jana. "Essays on Market Microstructure and Pathwise Directional Derivatives." Doctoral thesis, Humboldt-Universität zu Berlin, 2018. http://dx.doi.org/10.18452/18817.

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Wir befassen uns mit Gleichgewichtsproblemen, die bei dem Zusammentreffen von Märkten und Marktteilnehmern entstehen, zuerst in einem Modell mit konkurrierenden Märkten mit Feedback und asymmetrischer Information und dann mit strategisch interagierenden Händlern. Zudem untersuchen wir spezielle Richtungsableitung im Kontext des pfadweisen Malliavinkalküls. Im ersten Kapitel analysieren wir ein Prinzipal-Agenten-Problem mit einem monopolistischen Dealer, der mit einem Crossing-Netzwerk (CN) um den Handel mit Agenten mit privater Information konkurriert. Wir untersuchen die gewinnmaximierenden

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42

Osterrieder, Jörg Robert. "Arbitrage, the limit order book and market microstructure aspects in financial market models." kostenfrei, 2007. http://e-collection.ethbib.ethz.ch/view/eth:29478.

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43

Aubrun, Cécilia. "Unraveling Financial Market Quakes : Exploring Endogenous Volatility Dynamics in Interconnected Markets." Electronic Thesis or Diss., Institut polytechnique de Paris, 2024. http://www.theses.fr/2024IPPAX066.

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Le rôle des mécanismes de rétroaction dans la création d’instabilités sur des marchés financiers a largement été étudié dans la littérature. L’endogénéité de la volatilité et de l'activité des marchés a effectivement conduit à plusieurs krachs notoires. Le plus connu, le flash crash du 6 mai 2010, illustre comment les instabilités du marché découlent de ses caractéristiques intrinsèques. En effet, c’est une exécution excessivement rapide d’ordres de vente qui a déclenché la chute rapide suivie d’une remontée du S&Pmini en moins d'une heure. De plus, les instabilités des marchés sont accent

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44

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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45

Maberly, Raylene. "Market Microstructure and Day-of-the-Week Return Patterns." Thesis, University of Canterbury. Accountancy, Finance and Information Systems, 2006. http://hdl.handle.net/10092/854.

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This paper documents a major shift in market microstructure during the period 1990 through 1999. In particular, a dramatic change in the pattern of cash flows by individual and institutional investors is documented. The question becomes, what effect this change has on day-of-the-week return patterns for the Dow Jones Industrial Average, Standard and Poor's 500 index, and Standard and Poor's 500 index futures. I find Monday's return pattern has changed in the decade of the 1990's. Not only is Monday's mean return significantly large and positive for all indices, the entire anomalous pattern occ

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46

Miao, Teng. "Essays in microstructure analysis in the foreign exchange market." Thesis, City University London, 2010. http://openaccess.city.ac.uk/12193/.

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The aim of this thesis is to investigate the effects of foreign exchange order flows on exchange rate and stock market changes, in particular to examine the forecasting power of order flows and better understand the nature of the private information conveyed in order flows in the foreign exchange market. Chapter 1 investigates the performance of foreign exchange customer order flows (six major exchange rates over 3.5 years) as an additional explanatory variable to technical analysis to forecast exchange rate changes by applying genetic algorithm non-linear methodology. Using the interval permu

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47

Sun, Yuxin. "UK equity market microstructure in the age of machine." Thesis, University of Edinburgh, 2018. http://hdl.handle.net/1842/31413.

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Financial markets perform two major functions. The first is the provision of liquidity in order to facilitate direct investment, hedging and diversification; the second is to ensure the efficient price discovery required in order to direct resources to where they can be best utilised within an economy. How well financial markets perform these functions is critical to the financial welfare of every individual in modern economies. As an example, retirement savings across the world are mostly invested in capital markets. Hence, the functioning of financial markets is linked to the standard of liv

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48

Abd, Karim Mohomad Nazri Bin. "Bursa Malaysia index series revision effects on market microstructure." Thesis, University of Hull, 2016. http://hydra.hull.ac.uk/resources/hull:14382.

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This thesis presents three interrelated empirical chapters on the Bursa Malaysia index series revisions effects on market microstructure. In the first empirical chapter, “The Effect of Changes in the Composition of the FTSE Bursa Malaysia Indices on Stock Price and Volume", the effect of re-constituents of the main indices (Big Cap, Mid Cap and Small Cap) on stock price and trade volume is investigated, using a data sample which comprises information dated from the time period between 2005 and 2012. An event-study methodology is employed to evaluate the effects of stock market reactions to ext

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49

Balardy, Clara. "Auction and continuous market for power : organization and microstructure." Thesis, Paris Sciences et Lettres (ComUE), 2019. http://www.theses.fr/2019PSLED031.

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Cette thèse s’intéresse aux marchés spot de l’électricité et plus particulièrement à l’organisation et la conception de ces derniers. En effet, l’industrie électrique fait face à de nouveaux défis dues à l’augmentation de la capacité de production renouvelable mais également dues à des changements plus structurels liés aux comportements des acteurs. La régulation et les plateformes d’échange doivent s’adapter à ces changements afin de veiller à l’efficacité du marché dans son ensemble.Le premier chapitre de la thèse étudie en détails la formation de la liquidité sur le marché continu allemand.

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Tillman, Måns. "On-Line Market Microstructure Prediction Using Hidden Markov Models." Thesis, KTH, Matematisk statistik, 2017. http://urn.kb.se/resolve?urn=urn:nbn:se:kth:diva-208312.

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Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. In particular, the new high-frequency markets, with algorithmic trading operating on micro-second level, make it possible to translate ”information” into price almost instantaneously. Such phenomena are studied in the field of market microstructure theory, which aims to explain and predict them. In this thesis, we model the dynamics of high frequency markets using non-linear hidden Markov models (HMMs). Such mo

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