Sökning: "Björn Hagströmer"

Visar resultat 1 - 5 av 6 avhandlingar innehållade orden Björn Hagströmer.

  1. 1. Liquidity and Portfolio Optimisation

    Detta är en avhandling från Birmingham : Aston University

    Författare :Björn Hagströmer; Jane M. Binner; [2009]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; stock market; liquidity; systematic liquidity; portfolio optimisation; high-frequency data; SOCIAL SCIENCES Business and economics Economics; SAMHÄLLSVETENSKAP Ekonomi Nationalekonomi;

    Sammanfattning : This thesis presents research within empirical financial economics with focus on liquidity and portfolio optimisation in the stock markets. The discussion on liquidity is focussed on measurement issues, including TAQ data processing and measurement of systematic liquidity factors. LÄS MER

  2. 2. New Insights on Computerized Trading Implications of Frequently Revised Trading Decisions

    Detta är en avhandling från Stockholm : Stockholm Business School, Stockholm University

    Författare :Petter Dahlström; Björn Hagströmer; Lars Nordén; Andriy Shkilko; [2019]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Business Administration; företagsekonomi;

    Sammanfattning : Computerized trading may be viewed as an aspect of modernization of financial markets. This dissertation contains four articles that in different ways examine to what extent the modernization influences the economics of the markets. LÄS MER

  3. 3. Changing the Rules of the Game A Market Microstructure Perspective on the Effects of Regulating Financial Markets

    Detta är en avhandling från Stockholm : Stockholm Business School, Stockholm University

    Författare :Ester Félez Viñas; Björn Hagströmer; Caihong Xu; Mathijs van Dijk; [2019]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market fragmentation; liquidity; resiliency; short selling ban; commonality in liquidity; financial contagion; call auction; market integrity; auction attractiveness; price efficiency; Business Administration; företagsekonomi;

    Sammanfattning : This dissertation contains four articles that examine the effects brought about by the implementation of new regulations and changes in the trading landscape on different facets of market quality and integrity.Article I studies how the fragmentation of equity markets affects the speed of recovery of the market, both under normal market conditions and in times of stress. LÄS MER

  4. 4. Essays on Derivatives and Liquidity

    Detta är en avhandling från Stockholm : School of Business, Stockholm University

    Författare :Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; [2013]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; Business Administration; företagsekonomi;

    Sammanfattning : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. LÄS MER

  5. 5. Essays on Balkan frontier stock markets

    Detta är en avhandling från Stockholm : Stockholm Business School, Stockholm University

    Författare :Goran Zafirov; Lars Nordén; Björn Hagströmer; Dejan Šoškić; [2014]
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; frontier stock markets; privatisation; liquidity; liquidity premium; order book; transparency; price discovery; frontier aktiemarknad; privatisering; likviditet; likviditetspremie; orderbok; transparens; prisbildning; Business Administration; företagsekonomi;

    Sammanfattning : This dissertation consists of four chapters dealing with Balkan frontier markets, their design and performance. Chapter I provides an introduction to these markets and presents additional information necessary for the reader to understand these markets. LÄS MER