Author: Amitabh AroraPublisher:
ISBN:
Category :
Languages : en
Pages : 116
Book Description
Three Essays in Market Microstructure
Author: Amitabh AroraThree Essays in Market Microstructure
Author: Tatayana V. ZabotinaPublisher:
ISBN:
Category : Futures market
Languages : en
Pages : 186
Book Description
Three essays in market microstructure theory
Author: Giovanni CespaThree Essays on Market Microstructure
Author: Timothy Falcon CrackPublisher:
ISBN:
Category :
Languages : en
Pages : 274
Book Description
Three Essays on Market Microstructure
Author: Sukwon KimPublisher:
ISBN:
Category : Corporations
Languages : en
Pages : 148
Book Description
Berlusconi Silvio (1936-).
Author: Publisher:
ISBN:
Category :
Languages : en
Pages :
Book Description
Zeitungsausschnitte (1992-2000).
Three Essays on Market Microstructure and Financial Econometrics
Author: Yi XuePublisher:
ISBN:
Category : Econometrics
Languages : en
Pages : 0
Book Description
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.
Three Essays on Empirical Market Microstructure
Author: Rahul RaviPublisher:
ISBN:
Category : Corporations
Languages : en
Pages : 314
Book Description
Three Essays on Market Microstructure
Author: Daejin KimPublisher:
ISBN:
Category : Arbitrage
Languages : en
Pages : 135
Book Description
Insider Trading, Asymmetric Information, and Market Liquidity
Author: Minh Tue VoPublisher:
ISBN:
Category : Microeconomics
Languages : en
Pages : 212
Book Description
"The second essay examines trading behavior, price behavior and the informational efficiency and the informativeness of the price process in the equilibrium of a strategic trading game when some investors receive information before others. We show that the early informed investor may trade against his information to maintain his information superiority over the market. Under some conditions, subsequent price changes are positively correlated. We also find that the price process is less efficient and less informative than would be the case where there is no late-informed trader." --