Sökning: "high frequency traders"

Hittade 3 avhandlingar innehållade orden high frequency traders.

  1. 1. 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

  3. 2. Off-exchange Trading in Modern Equity Markets : A Market Microstructure Perspective on Systematic Internalizers

    Författare :Fatemeh Aramian; Lars Nordén; Lu Liu; Bernt Arne Ødegaard; Stockholms universitet; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Systematic internalizers; Off-exchange trading; Equity markets; Price efficiency; Liquidity; Trading costs; High-frequency traders; Regulation; Dealers; Inventory management; företagsekonomi; Business Administration;

    Sammanfattning : Off-exchange trading has become a feature of the equity markets. This dissertation contains three articles that examine how off-exchange trading through systematic internalizers (SIs) affects inter-market competition and various features of market quality.Article I studies SIs' characteristics and the impact of SI operations on price efficiency. LÄS MER

  4. 3. Empirical Essays in Financial Economics

    Författare :Holger-Johannes Breckenfelder; Handelshögskolan i Stockholm; []
    Nyckelord :SAMHÄLLSVETENSKAP; SOCIAL SCIENCES;

    Sammanfattning : Competition between High-Frequency Traders, and Market Quality. This is the first empirical evidence on the competition between high-frequency traders (HFTs) and its influence on market quality. My findings suggests what when HFTs compete for traders their liquidity consumption increases. LÄS MER