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.
- Language
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Englisch
- Bibliographic citation
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Series: PhD Series ; No. 199
- Classification
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Wirtschaft
- Event
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Geistige Schöpfung
- (who)
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Randbøll Leth, Laurs
- Event
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Veröffentlichung
- (who)
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University of Copenhagen, Department of Economics
- (where)
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Copenhagen
- (when)
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2019
- Handle
- Last update
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10.03.2025, 11:41 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Dissertation o. Habilitation
Associated
- Randbøll Leth, Laurs
- University of Copenhagen, Department of Economics
Time of origin
- 2019
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