Essays about: "market microstructure"
Showing result 1 - 5 of 40 essays containing the words market microstructure.
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1. Fractional Cointegration and Price Discovery in FX Markets
University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomiAbstract : I employ bivariate fractionally cointegrated vector autoregressive models to analyze price discovery on the EUR/GBP market. Using daily spot rates between 2010 and 2022 along with corresponding one-month and three-month forward rates, I extract parameter estimates for pairwise long-run relationships, each pair containing a spot and a forward. READ MORE
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2. Properties & Stability of Hybrid Pea-Dairy Protein Formulas
University essay from Lunds universitet/FörpackningslogistikAbstract : The aim of this study was to investigate the functional properties and stability of hybrid pea-dairy protein formulas. To achieve this goal, the combination of pea protein isolate (PPI) with dairy proteins such as micellar casein isolate (MCI), sodium caseinate (NaCas), whey protein aggregate (WPA) was evaluated. READ MORE
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3. The Impact of Stock Market Manipulation: An empirical study of Nasdaq Stockholm Stock Exchange during 2018-2023
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : Despite widespread concern about market manipulation, there is a general lack of empirical evidence in the literature to support this claim. In particular, market manipulation has not been thoroughly investigated in advanced stock markets. READ MORE
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4. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing
University essay from KTH/Matematisk statistikAbstract : 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
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5. Out of the Books and Into the Woods
University essay from Lunds universitet/Nationalekonomiska institutionenAbstract : The objective of this thesis is to analyze the predictive power of the cryptocurrency limit order book for return predictions. The analysis is performed for the BTC/USD and ETH/USD directional 10-second returns, using limit order book data from three of the largest cryptocurrency spot exchanges. READ MORE