Sökning: "microstructure market data"
Visar resultat 1 - 5 av 14 uppsatser innehållade orden microstructure market data.
1. Out of the Books and Into the Woods
Magister-uppsats, Lunds universitet/Nationalekonomiska institutionenSammanfattning : 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
2. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class
C-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. LÄS MER
3. Not Just Noise: An Empirical Study of Irrational Noise Trading and its Role in Financial Markets
D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiSammanfattning : This paper explores the role of irrational 'noise' traders in financial markets. Theory suggests that a lower share of irrational or uninformed trading in the market should lead to higher adverse selection costs, and that irrational trading should be more susceptible to exogenous, non-economic events that capture traders' time and attention. LÄS MER
4. Cashflow Investment Relationship: Empirical Evidence of Chinese Financial Market
Magister-uppsats, Lunds universitet/Företagsekonomiska institutionenSammanfattning : Purpose: In this study, we examine the data from Chinese companies to test the relationship between cash flow and investment. While a wide assortment of previous research has examined the relationship between cash flow and investment, they have largely focused on empirical analysis from an US or a Western perspective. LÄS MER
5. Mikrostrukturen och Ex-dagseffekten : Påverkar mikrostrukturen den svenska börsmarknaden?
Kandidat-uppsats, Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakultetenSammanfattning : Bakgrund: En fungerande kapitalmarknad är en förutsättning för en nations innovation,vilket i sin tur är fundamentalt för att uppnå ekonomisk tillväxt. Därav blir förståelsen för hurkapitalmarknaden fungerar av största vikt. LÄS MER