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Author: Masahiro Yamada
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Christian Voigt
Publisher: GRIN Verlag
ISBN: 3640161157
Category : Political Science
Languages : en
Pages : 159
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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.
Author: Masahiro Yamada
Publisher:
ISBN:
Category :
Languages : en
Pages :
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Author: Joel Hasbrouck
Publisher: Oxford University Press, USA
ISBN: 019988532X
Category : Business & Economics
Languages : en
Pages : 208
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Discusses the mechanisms by which securities are traded and economic models of asymmetric information, inventory control, and cost-minimizing trading strategies.
Author: Simon Gervais
Publisher:
ISBN:
Category :
Languages : en
Pages : 324
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Author: Qin Wang
Publisher:
ISBN: 9781109127584
Category :
Languages : en
Pages : 99
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Author: Peter Joakim Westerholm
Publisher: World Scientific
ISBN: 9813234113
Category : Business & Economics
Languages : en
Pages : 267
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Book Description
This book, written by Joakim Westerholm, Professor of Finance and former trading professional, is intended to be used as basis for developing courses in Securities markets, Trading, and Market microstructure and connects theoretic rigor with practical real world applications.Market technology evolves, the roles of market participants change, and whole market segments disappear to be replaced by new ways to exchange securities. Yet, the same underlying economic principles continue to drive trading in securities markets. Thus, the scope of the book is global, providing a framework that is relevant both for current market designs and for future markets we will see develop. It is designed to stay relevant in a rapidly evolving field.The book contains a selection of lecture notes through which students will gain an in-depth understanding of the mechanism that drives trading in securities markets. The book also contains another set of lecture notes with more advanced, research-based material, suitable for Honours or Master level research students, or for PhD candidates. The material is self-explanatory and can also be used for self-study, preferably in conjunction with assigned readings.
Author: Shmuel Baruch
Publisher:
ISBN:
Category :
Languages : en
Pages : 68
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Author: Sean Lew
Publisher:
ISBN:
Category :
Languages : en
Pages :
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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 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: Neela Mohan N. Gollapudi
Publisher:
ISBN:
Category :
Languages : en
Pages : 408
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Author: George Glenn Baigent
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 162
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