Essays about: "Microstructure invariance"

Found 5 essays containing the words Microstructure invariance.

1. 1. 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

3. 2. 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

4. 3. 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

5. 4. 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

6. 5. 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