Sökning: "microstructure market data"

Visar resultat 6 - 10 av 18 uppsatser innehållade orden microstructure market data.

  1. 6. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks

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

    Författare :Jim Domeij; Oscar Krieg; [2021]
    Nyckelord :Market Microstructure Invariance; Bid-ask spread; Liquidity; Swedish stock market; Market impact;

    Sammanfattning : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. LÄS MER

  3. 7. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds

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

    Författare :Gustaf Gustafsson; Sebastian Gerell; [2020]
    Nyckelord :Leveraged ETFs; Financial Stability; Market Microstructure Invariance; Price Impact; Sweden;

    Sammanfattning : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. LÄS MER

  4. 8. The Invariance Hypothesis and News: Applying the Microstructure Invariance Hypothesis on the Arrival Rate of News

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

    Författare :Bawer Arslan; Kaj Tallungs; [2020]
    Nyckelord :Microstructure invariance; News arrival; Trading activity; Business time; Factiva;

    Sammanfattning : Following the methodology of Kyle et al. (2012) we investigate how the arrival rate of news articles mentioning individual stocks varies with the level of trading activity of the same securities. LÄS MER

  5. 9. Simulating market maker behaviour using Deep Reinforcement Learning to understand market microstructure

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Elwin Marcus; [2018]
    Nyckelord :Deep Reinforcement Learning; Machine Learning; Market Microstructure; Market Maker; Financial Agent; Agent Based Modelling; Financial Artificial Markets; Complex Systems; Algorithmic Trading; Tensorforce; keras-RL; PPO; DQN; Dealer Market; Limit Order book;

    Sammanfattning : Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. LÄS MER

  7. 10. 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