Essays about: "Jim Domeij"

Found 2 essays containing the words Jim Domeij.

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

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

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

   Abstract : 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. READ MORE

3. 2. Estimation of early termination of financial derivatives

   University essay from KTH/Matematisk statistik

   Author : Marcus Pousette; Jim Domeij; [2019]
   Keywords : Survival analysis; Neural network; Applied mathematics; Överlevnadsanalys; Neurala nätverk; tillämpad matematik;

   Abstract : In terms of pricing financial derivatives, contractual length plays a important role in pricing risk. A contract with long duration will have more associated risk in comparison with a contract with low duration, everything else equal. READ MORE