Essays about: "Oscar Krieg"

Found 1 essay containing the words Oscar Krieg.

  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