Essays about: "Market Microstructure Invariance"

Found 3 essays containing the words Market Microstructure Invariance.

  1. 1. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Gustaf Gustafsson; Sebastian Gerell; [2020]
    Keywords : Leveraged ETFs; Financial Stability; Market Microstructure Invariance; Price Impact; Sweden;

    Abstract : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. READ MORE

  3. 2. The Invariance Hypothesis and News: Applying the Microstructure Invariance Hypothesis on the Arrival Rate of News

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Bawer Arslan; Kaj Tallungs; [2020]
    Keywords : Microstructure invariance; News arrival; Trading activity; Business time; Factiva;

    Abstract : Following the methodology of Kyle et al. (2012) we investigate how the arrival rate of news articles mentioning individual stocks varies with the level of trading activity of the same securities. READ MORE

  4. 3. Bid-Ask Spread Dynamics - A Market Microstructure Invariance Approach

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Bo Liljefors; Wilhelm Jansson; [2011]
    Keywords : Market Microstructure Invariance; Bid-Ask Spread; Bond Futures; Business and Economics;

    Abstract : The theory of Market Microstructure Invariance proposed by Kyle and Obizhaeva (2010) is presented and tested on spread data for bond futures. The data used are transformations from over 150,000 observations of futures on German government debt securities (Schatz and Bund) and 10-year US treasury notes. READ MORE