Essays about: "Bid-Ask Spreads"

Showing result 1 - 5 of 20 essays containing the words Bid-Ask Spreads.

  1. 1. Dispersion Trading: A Way to Hedge Vega Risk in Index Options

    University essay from KTH/Matematik (Avd.)

    Author : Albin Irell Fridlund; Johanna Heberlein; [2023]
    Keywords : Dispersion Trading; Volatility Trading; Volatility Hedging; Vega Hedging; Option Trading; Back-testing; Liquidity provider; OMXS30 options; Index options; Spridningshandel; Volitilitetshandel; Volitilitetssäkring; Vega säkring; Optionshandel; Back-testing; Likviditetgivare; OMXS30 optioner; Index optioner;

    Abstract : Since the introduction of derivatives to the financial markets, volatility trading has emerged as a method for investors to make money in every market condition. In parallel with introducing derivatives to the financial markets, hedging methods have emerged and are today essential instruments for the liquidity providers active in the markets. READ MORE

  3. 2. Examining Voluntary Corporate Disclosures about Reverse Factoring

    University essay from Göteborgs universitet/Graduate School

    Author : Hina Aftab; Tanjin Farzana; [2022-06-30]
    Keywords : Supply Chain Finance; Reverse Factoring; Disclosure; Bid-ask spread;

    Abstract : Reverse factoring (RF) is a working capital arrangement through which a buyer involves a financial institution to buy invoices from suppliers on a discount and repays such loan at a later date. This leads to a reduction in days receivable for the supplier. READ MORE

  4. 3. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Charles Gyllhamn; Jacob Winberg; [2022]
    Keywords : Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

    Abstract : 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. READ MORE

  5. 4. Not Just Noise: An Empirical Study of Irrational Noise Trading and its Role in Financial Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Valter Ehrström; Linus Sigurdson; [2022]
    Keywords : Microstructure theory; Noise trading; Retail trading; Sports; Transaction costs;

    Abstract : 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. READ MORE

  6. 5. Exchange Trades Funds and Constituent Price Informativeness

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Frida Habbe; Sofia Hellenborg; [2022]
    Keywords : Exchange traded funds; price informativeness; price non-synchronicity; information costs; trader behavior;

    Abstract : This thesis aims to investigate the relationship between exchange-traded funds and the price informativeness of their constituents using daily data on the proxies ETF coverage and price non-synchronicity over a period of 4.5 years, and finds some statistically significant evidence of a negative relationship. READ MORE