Sökning: "Björn Nordén"

Visar resultat 1 - 5 av 8 avhandlingar innehållade orden Björn Nordén.

  1. 1. New Insights on Computerized Trading : Implications of Frequently Revised Trading Decisions

    Författare :Petter Dahlström; Björn Hagströmer; Lars Nordén; Andriy Shkilko; Stockholms universitet; []
    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. 2. Competition, Division and Unity : The Impact of Market Structures on Trading Quality

    Författare :Chengcheng Qu; Björn Hagströmer; Lars Nordén; Michał Dzieliński; Roman Kozhan; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market microstructure; latency arbitrage; fragmentation; tick size; lot size; liquidity; adverse selection; market efficiency; Business Administration; företagsekonomi;

    Sammanfattning : The financial market operates as an ecosystem, involving diverse yet interconnected marketplaces and participants. Market design, intricately interacting with technology, regulation, and competition, shapes how participants adapt their trading behavior and therefore influences market performance. LÄS MER

  4. 3. Essays on Derivatives and Liquidity

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

    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. 4. Essays on Balkan frontier stock markets

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

    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

  7. 5. Essays on Market Design and Market Quality

    Författare :Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

    Sammanfattning : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. LÄS MER