Essays about: "microstructure market data"

Showing result 1 - 5 of 17 essays containing the words microstructure market data.

1. 1. Out of the Books and Into the Woods

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Elisabeth Molin; [2023]
   Keywords : Limit Order Book; Cryptocurrency; Random forest; Market Microstructure; Lead-lag; Business and Economics;

   Abstract : 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

3. 2. 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

4. 3. 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

5. 4. Cashflow Investment Relationship: Empirical Evidence of Chinese Financial Market

   University essay from Lunds universitet/Företagsekonomiska institutionen

   Author : Jenifar Soheli; Wenxi Lyu; [2022]
   Keywords : Investment; Cash flow; Leverage; Revenue; Tobin’s Q; Business and Economics;

   Abstract : Purpose: In this study, we examine the data from Chinese companies to test the relationship between cash flow and investment. While a wide assortment of previous research has examined the relationship between cash flow and investment, they have largely focused on empirical analysis from an US or a Western perspective. READ MORE

6. 5. 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