Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but...

Risk allocation games are cooperative games that are used to attribute the risk of a financial entity to its divisions. In this paper, we extend the literature on risk allocation games by incorporating liquidity considerations. A liquidity policy specifies state-dependent liquidity requirements...

This doctoral thesis focuses on two topics on trading in financial markets: competition between stock exchanges and optimal trading strategies. Chapter one analyzes the effect on the liquidity of a stock when it is traded on multiple trading venues, and distinguishes between competition from...

Parimutuel principles are widely used as an alternative to fixed odds gambling in which a bookmaker acts as a dealer by quoting fixed rates of return on specified wagers. A parimutuel game is conducted as a call auction in which odds are allowed to fluctuate during the betting period until the...

We add a new dimension to the debate of the efficacy and the timing of a central bank's currency intervention. Utilising an enhanced proxy for intervention and high frequency tick-by-tick quote data, we estimate the approximate intraday timing of interventions by the Reserve Bank of Australia in...

We study the relation between foreign exchange market quality and both trading activity and dealer concentration by considering two currency pairs with significant differences along both dimensions – the Euro-US dollar and Canadian dollar – US dollar. A variance ratio test reveals...

We introduce a new model for describing the fluctuations of a tick-by-tick single asset price. Our model is based on Markov renewal processes. We consider a point process associated to the timestamps of the price jumps, and marks associated to price increments. By modeling the marks with a...

We investigate the effect of a lack of an automated limit order adjustment mechanism on ex-dividend day stock price behavior in a unique environment in which there are no taxes on dividends and capital gains. The absence of taxes in Oman allows us to test the effect of the lack of a limit order...