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In this thesis, I explore various aspects of market liquidity and analyze its effect on asset prices. First, in a model of a limit order market I explain how to define liquidity and derive a price impact function. Second, I show how agents who have price impact generate a liquidity component in...
Persistent link: https://www.econbiz.de/10009432320
Along with the increasing computing power, growing availability of various data streams, introduction of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been...
Persistent link: https://www.econbiz.de/10009432587
In Chapter 1, I investigate trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest...
Persistent link: https://www.econbiz.de/10009432926
Ticks, the second-to-second trades and quotes of a market, might be considered the atoms of finance. They represent the basic, defining transactions that represent an asset in the market. Almost all financial concepts, such as returns or risk, are essentially abstractions from tick data. Like...
Persistent link: https://www.econbiz.de/10009433156
This thesis consists of three essays on asset pricing. Chapter 1 presents an equilibrium model to study the convergence trading of large hedge funds in segmented markets. The model provides an alternative explanation for the anomaly of a price gap between two fundamentally identical securities....
Persistent link: https://www.econbiz.de/10009433245