Essays in Empirical Market Microstructure and High Frequency Data PDF Download
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Author: Mario Bellia
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Mario Bellia
Publisher:
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Category :
Languages : en
Pages :
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Author: Ms. Yesol Huh
Publisher:
ISBN:
Category :
Languages : en
Pages :
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This thesis studies how automation and structural changes in equity markets have affected various aspects of liquidity. In the first part of the thesis, I study high frequency trading (HFT). I first develop a methodology for measuring HFT activities that uses a statistical model to estimate reaction speed from limit order data. This allows us to separate out and measure HFT activities from that of slower traders. Using these measures, I study HFTs' liquidity provision. In today's markets where high frequency traders (HFTs) act as both liquidity providers and takers, I argue that information asymmetry associated with HFTs' use of public, machine-readable information is important. This particular type of information asymmetry arises because some machines may sometimes access certain information before other machines due to randomness in relative speed. I show that liquidity-providing HFTs supply less liquidity to stocks that suffer more acutely from this information asymmetry problem. My results also show that stocks with low spreads, high beta, and low volatility have a greater information asymmetry of this type. Moreover, when markets become volatile, this information asymmetry problem becomes more severe, and liquidity provision by HFTs decreases. I discuss implications for market-making activity in times of market stress and for HFT regulations. Second part of this thesis studies algorithmic trading, which is a larger set that includes HFTs. Using the introduction of hybrid market in the New York Stock Exchange as a natural experiment, I show that algorithmic trading causes liquidity across stocks to co-move more; hybridization increases the 5-minute liquidity comovement by 30 to 50%. Moreover, the effect is stronger at daily frequencies: hybridization induces a 90% higher daily liquidity comovement. These results are due to both an increase in market liquidity risk and a decrease in idiosyncratic liquidity volatility.
Author: Joel Hasbrouck
Publisher: Oxford University Press
ISBN: 0195301641
Category : Business & Economics
Languages : en
Pages : 209
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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.
Author: Selahattin Tuğkan Tüzün
Publisher:
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Category :
Languages : en
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Author: Nadine Hirte
Publisher: GRIN Verlag
ISBN: 3638285227
Category : Mathematics
Languages : en
Pages : 30
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Seminar paper from the year 2003 in the subject Mathematics - Statistics, grade: 2.0 (B), European University Viadrina Frankfurt (Oder), language: English, abstract: Today the financial market becomes more complex and includes more competition. Reasons are trends like globalization, liberalization and lower-cost trading mechanism. The market microstructure research has the aim of an efficient market. It is focused on the structure of the financial market. The investigation becomes possible through the availability of high- frequency data. Those data exist especially in the United States and like that most of the research focuses this market. To explain the phenomena, which have been found adequate, models that fit the characteristics of high- frequency data have to be developed. The research is important to understand actions on the market as well as develop new efficient mechanism. One part of the market microstructure field is the bid-ask spread. It will be focus of this paper. In the first two parts it will be discussed theoretically. In the last part one model will be empirically analyzed and tested on its usefulness and validity. The second part of this paper explains the basic elements surrounding the research of bid-ask spread. Those are the financial market, market microstructure as well as high-frequency data. In the following part the bid-ask spread itself, approaches, researches and models focussing the spread will be discussed. The model of Roll (1984) will be explained in detail. The last part will be the empirical analysis of the model of Roll. It is analyzed with data from the NASDAQ.
Author: Yoichi Otsubo
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Author: Ken Nyholm (FIN)
Publisher:
ISBN: 9788789695495
Category :
Languages : en
Pages :
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Author: Grigori Erenburg
Publisher:
ISBN:
Category : Computer networks
Languages : en
Pages : 246
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Author: Jan-Magnus Moberg
Publisher:
ISBN: 9788240501976
Category :
Languages : en
Pages : 124
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Author: Allen Mario Carrion
Publisher:
ISBN:
Category : Electronic trading of securities
Languages : en
Pages : 164
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