Sökning: "Market microstructure"

Visar resultat 1 - 5 av 46 uppsatser innehållade orden Market microstructure.

  1. 1. Fractional Cointegration and Price Discovery in FX Markets

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Författare :Johan Faxner; [2023]
    Nyckelord :exchange rates; price discovery; fractional cointegration; market microstructure; covered interest rate parity;

    Sammanfattning : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. LÄS MER

  3. 2. Properties & Stability of Hybrid Pea-Dairy Protein Formulas

    Master-uppsats, Lunds universitet/Förpackningslogistik

    Författare :Kyriaki-Eirini Moschou; [2023]
    Nyckelord :properties; stability; hybrid formula; pea-dairy; protein mixtures; development; RTD; Agriculture and Food Sciences;

    Sammanfattning : The aim of this study was to investigate the functional properties and stability of hybrid pea-dairy protein formulas. To achieve this goal, the combination of pea protein isolate (PPI) with dairy proteins such as micellar casein isolate (MCI), sodium caseinate (NaCas), whey protein aggregate (WPA) was evaluated. LÄS MER

  4. 3. The Impact of Stock Market Manipulation: An empirical study of Nasdaq Stockholm Stock Exchange during 2018-2023

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Alina Mannonen; Caroline Zheng; [2023]
    Nyckelord :Stock Manipulation; Market Efficiency; Market Quality; Stockholm stock exchange; Market microstructure;

    Sammanfattning : Despite widespread concern about market manipulation, there is a general lack of empirical evidence in the literature to support this claim. In particular, market manipulation has not been thoroughly investigated in advanced stock markets. LÄS MER

  5. 4. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

    Master-uppsats, KTH/Matematisk statistik

    Författare :Hannes Backe; David Rydberg; [2023]
    Nyckelord :Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

    Sammanfattning : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. LÄS MER

  7. 5. Out of the Books and Into the Woods

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Elisabeth Molin; [2023]
    Nyckelord :Limit Order Book; Cryptocurrency; Random forest; Market Microstructure; Lead-lag; Business and Economics;

    Sammanfattning : The objective of this thesis is to analyze the predictive power of the cryptocurrency limit order book for return predictions. The analysis is performed for the BTC/USD and ETH/USD directional 10-second returns, using limit order book data from three of the largest cryptocurrency spot exchanges. LÄS MER