Essays about: "Microstructure of Financial Markets"

Showing result 1 - 5 of 10 essays containing the words Microstructure of Financial Markets.

  1. 1. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

    University essay from KTH/Matematisk statistik

    Author : Hannes Backe; David Rydberg; [2023]
    Keywords : Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

    Abstract : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. READ MORE

  3. 2. 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

  4. 3. Price formation on the Tesla stock market : A study on market impact and trader types

    University essay from Umeå universitet/Nationalekonomi

    Author : William Swahn; [2021]
    Keywords : ;

    Abstract : To the question of whether the price of a financial asset is set based on rational responses to information or not, financial literature may never find consensus. However, both rational and irrational agents seem to roam financial markets. READ MORE

  5. 4. Simulating market maker behaviour using Deep Reinforcement Learning to understand market microstructure

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Elwin Marcus; [2018]
    Keywords : Deep Reinforcement Learning; Machine Learning; Market Microstructure; Market Maker; Financial Agent; Agent Based Modelling; Financial Artificial Markets; Complex Systems; Algorithmic Trading; Tensorforce; keras-RL; PPO; DQN; Dealer Market; Limit Order book;

    Abstract : Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. READ MORE

  6. 5. The Risk of Mini Flash Crashes

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Tim Paulsson; [2017]
    Keywords : Mini Flash Crashes; Microstructure of Financial Markets; Inventory Management Effects; High Frequency Trading;

    Abstract : This paper examines unique data on mini flash crashes in the American stock market in the time period ranging from 3 January 2006 to 3 February 2011. Data shows an autoregressive behaviour in the number of mini flash crashes (stock-day observations). However, the behaviour is complex and might differ a lot among individual stocks. READ MORE