Dissertation o. Habilitation
Essays on high-frequency market microstructure: Herding and volume-synchronized probability of informed trading
This thesis consists of three single-authored chapters on high-frequency market microstructure. All of them are self-contained, and can be read independently. Chapter 1 examines the extent of herd behavior in a financial market from 2005 to 2008; in particular, whether herd selling increased during 2007 and 2008, consistent with a stock market crash. Chapter 2 investigates how portfolio hedging can take advantage of a microstructure measure (VPIN) of toxic order ow. Finally, Chapter 3 presents a study of parametric estimation of this measure. In the following, concepts and state of the art of market microstructure are reviewed, and the three chapters are introduced.
- Sprache
-
Englisch
- Erschienen in
-
Series: PhD Series ; No. 199
- Klassifikation
-
Wirtschaft
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Randbøll Leth, Laurs
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Copenhagen, Department of Economics
- (wo)
-
Copenhagen
- (wann)
-
2019
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:41 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Dissertation o. Habilitation
Beteiligte
- Randbøll Leth, Laurs
- University of Copenhagen, Department of Economics
Entstanden
- 2019
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