Sökning: "Lukas molander"

Hittade 2 uppsatser innehållade orden Lukas molander.

1. 1. Price Impact and Venue Dependence

   Master-uppsats, KTH/Matematisk statistik

   Författare :Lukas Molander; [2019]
   Nyckelord :Price Impact; micro-price; MiFID II; venue dependence; toxicity; financial mathematics; statistics; Prispåverkan; micro-pris; MiFID II; handelsplatsberoende; finansiell matematik; statistik;

   Sammanfattning : The equity trading of today is fragmented across regulated markets (RMs) and multilateral trading facilities (MTFs). Despite being legally very similar Busch (2017), market participants have reported that they attract different types of traders. Market dynamics arise from the interactions between all market participants (agents) Kyle (1985). LÄS MER

3. 2. Toxicity Levels of Stock Markets : Observing Information Asymmetry in a Multi-Market Setting

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Lukas Molander; Shih Jung Yape; [2017]
   Nyckelord :High frequency trading HFT ; Market microstructure; Order ow toxicity; Contagion; Adverse selection; Predatory HFT-strategies; Toxicity levels;

   Sammanfattning : The presence of toxic order ow and predatory HFT strategies in a multi-market setting are scarcely researched in the academic world. This thesis studies the toxicity levels of a set of markets by examining unconsolidated quote data and firm specific trade data. LÄS MER