Essays On Market Microstructure Invariance
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Selected Essays on Market Microstructure
Author | : Christian Voigt |
Publisher | : GRIN Verlag |
Total Pages | : 166 |
Release | : 2008 |
Genre | : Business & Economics |
ISBN | : 3640161289 |
Doctoral Thesis / Dissertation from the year 2008 in the subject Business economics - Economic Policy, grade: summa cum laude, European Business School - International University Schlo Reichartshausen Oestrich-Winkel, 205 entries in the bibliography, 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.
Essays in Market Microstructure
Author | : Elizabeth R. Odders-White |
Publisher | : |
Total Pages | : |
Release | : 1997 |
Genre | : |
ISBN | : |
This thesis contributes to the market microstructure literature by examining the validity of an empirical methodology that is widely used not only in the market microstructure literature, but in all areas of finance, and by providing new insight into the way in which New York Stock Exchange specialists determine price schedules for their stocks.
Essays in Market Microstructure
Author | : |
Publisher | : |
Total Pages | : 196 |
Release | : 2009 |
Genre | : |
ISBN | : |
The first essay investigates whether there is an informational linkage between option trading activities and underlying stock depths. I find that option trading activities and underlying stock depths are informative for predicting each other, indicating that a linkage does exist. I further find that underlying stock depths beyond best prices contain more information than same-side depths at best prices for predicting future option trading activities, which is corroborated by my additional finding that institutional investors are more likely to place underlying stock limit orders less aggressively than individual investors. My findings indicate that standing underlying stock limit orders play an important role in price discovery between options and underlying stock markets. The second essay empirically examines whether specialists face adverse selection and evaluates the performance of the six measures of adverse selection or trade informativeness. I find that specialists face adverse selection. I find that the Glosten-Harris (1988) measure is the most reliable, that the Huang-Stoll (1997) measure is the least reliable, and that the ranking among the George-Kaul-Nimalendran (1991), Lin-Sanger-Booth (1995), PIN (1996), and Hasbrouck (1991b) measures is ambiguous.