Essays about: "LIQUIDITY"

Showing result 1 - 5 of 272 essays containing the word LIQUIDITY.

  1. 1. The Next Tick on Nasdaq Stockholm: Predicting Price Direction in Limit Order Books Using Order Imbalance

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Jamil Al-Najjar; Julian Kramer; [2019]
    Keywords : high frequency trading; limit order books; order imbalance; price prediction;

    Abstract : We explore complete Level II limit order books for eight stocks listed on Nasdaq Stockholm during 2016 and investigate the use of the imbalance between bid and ask volumes in predicting the direction of price change in an ultra-high-frequency environment. Specifically, we test whether a top-of-the-book (Level I) measure of order imbalance and a deeper-in-the-book (Level II) measure can predict the direction of a change in the mid-price of a security for up to three events before the change occurs. READ MORE

  2. 2. Capital Structure Volatility: Is capital structure constant or a varying residual?

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Henrik Nilsson; Xiaopeng Hu; [2019]
    Keywords : Capital structure; debt flow volatility; cash flow constraint;

    Abstract : This paper examines the phenomenon of capital structure instability among private- and publicly listed firms in Sweden during the years 2000-2016. We observe a high level of capital structure volatility among private firms, while public firms appear to be more stable. READ MORE

  3. 3. Bank capital and liquidity creation. An empirical study of the Scandinavian Banks

    University essay from Göteborgs universitet/Graduate School

    Author : Awais Shah; Said Lahiani; [2018-07-04]
    Keywords : liquidity creation; capital requirements; Basel III regulations; big and small banks; credit intermediation; Scandinavian countries;

    Abstract : MSc in Finance.... READ MORE

  4. 4. Predictability of return and volatility in Bitcoin markets

    University essay from Göteborgs universitet/Graduate School

    Author : Martin Eimer; Lina Karlsson; [2018-07-03]
    Keywords : Bitcoin; Price Manipulation; Abnormal Liquidity; Spoofing; Limit Order Book; High Frequency Trading;

    Abstract : MSc in Finance.... READ MORE

  5. 5. A self-normalizing neural network approach to bond liquidity classication

    University essay from KTH/Matematisk statistik

    Author : Gustav Kihlström; [2018]
    Keywords : ;

    Abstract : Bond liquidity risk is complex and something that every bond-investor needs to take into account. In this paper we investigate how well a selfnormalizing neural network (SNN) can be used to classify bonds with respect to their liquidity, and compare the results with that of a simpler logistic regression. READ MORE