Sökning: "Order ow toxicity"

Hittade 1 uppsats innehållade orden Order ow toxicity.

  1. 1. 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