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Essays in Finance
Başlık:
Essays in Finance
Yazar:
Nikolsko-Rzhevska, Olena, author.
ISBN:
9780355983777
Yazar Ek Girişi:
Fiziksel Tanımlama:
1 electronic resource (134 pages)
Genel Not:
Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Advisors: Thomas McInish; Pankaj Jain Committee members: Jeff Black; David Kemme.
Özet:
This dissertation comprises three essays on the microstructure of financial markets. The first essay shows that traders supply phantom liquidity by placing duplicate orders simultaneously on multiple exchanges, with the intent to execute only one. We find that on an average day, half of observed liquidity is duplicate liquidity. The second essay studies order revisions on NASDAQ. We document significant differences between revisions and cancellations/placements. We also find evidence of deleterious effects of revisions on market quality. Our results show that while traders appear to respond rationally to new information by updating their orders, there exist stable predictable patterns in the behavior of order revisions. In the third essay, we show that a recent increase in short-lived phantom cancellations puts slow traders at a disadvantage. We develop a framework that allows traders to differentiate between a firm and a phantom quote, which can increase the fill rate of their orders. All three essays contribute to our understanding of the microstructure of financial markets.
Notlar:
School code: 1194
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Yer Numarası | Demirbaş Numarası | Shelf Location | Lokasyon / Statüsü / İade Tarihi |
---|---|---|---|
XX(678920.1) | 678920-1001 | Proquest E-Tez Koleksiyonu | Arıyor... |
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