The microstructure of fragmented markets: trading in DAX 30 stocks after the introduction of MiFID
Gespeichert in:
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2015
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | 117 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
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| adam_text | Titel: The microstructure of fragmented markets
Autor: Katzschner, Thomas
Jahr: 2015
Contents
List of Figures 1
List of Tables 3
List of Abbreviations 5
1 Introduction 7
2 The Contribution of Multilateral Trading Facilities to Price Discovery 13
2.1 Introduction..............................................................13
2.2 Related literature........................................................15
2.3 Institutional background................................................17
2.4 Measures of price discovery............................................19
2.4.1 Hasbrouck information shares..................................19
2.4.2 Modified information shares..................22
2.5 Data...................................23
2.5.1 Trading records.........................23
2.5.2 Trades in tick time.......................25
2.6 Information shares in fragmented markets..............26
2.7 Time variation of information shares.................31
2.7.1 Intra-day variation.......................31
2.7.2 The role of the market state..................33
2.8 Conclusion ...............................36
Appendix...................................38
3 Latency in Fragmented Markets 47
3.1 Introduction...............................47
3.2 Related literature............................49
3.3 Data dissemination and processing..................52
3.4 Institutional background and data..................56
3.5 High-frequency quoting ........................57
3.6 Low-latency trading..........................53
3.7 Discussion: Equal access in fragmented markets...........71
3.8 Summary and conclusion .......................74
Appendix...................................76
4 Short-Selling Constraints in a Fragmented Market 81
4.1 Introduction...............................81
4.2 Review of short-selling constraints..................83
4.2.1 Regulatory distinctions ....................83
4.2.2 Related literature........................84
4.3 Impact assessment...........................86
4.3.1 Trading restrictions on German stocks............86
4.3.2 Trading on platforms......................87
4.3.3 Data and methodology.....................88
4.4 Platform quality and competition...................89
4.4.1 Measures of trading activity..................89
4.4.2 Quoting.............................92
4.5 Market integration...........................96
4.5.1 Cointegration of price series..................96
4.5.2 Information shares.......................98
4.5.3 Realized volatility .......................101
4.6 Conclusion ...............................103
Appendix...................................105
5 Summary and Conclusion 107
Bibliography 109
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| any_adam_object | 1 |
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| dewey-ones | 332 - Financial economics |
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| dewey-search | 332.632220943 |
| dewey-sort | 3332.632220943 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Katzschner, Thomas 1983- Verfasser (DE-588)1075016363 aut The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID vorgelegt von Thomas Katzschner 2015 117 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Hohenheim, Univ., Diss., 2015 Deutscher Aktienindex (DE-588)4266832-3 gnd rswk-swf Kapitalakkumulation (DE-588)4125168-4 gnd rswk-swf Kapitalbildung (DE-588)4029565-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Kapitalbildung (DE-588)4029565-5 s Kapitalakkumulation (DE-588)4125168-4 s Deutscher Aktienindex (DE-588)4266832-3 s DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028219831&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Katzschner, Thomas 1983- The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID Deutscher Aktienindex (DE-588)4266832-3 gnd Kapitalakkumulation (DE-588)4125168-4 gnd Kapitalbildung (DE-588)4029565-5 gnd |
| subject_GND | (DE-588)4266832-3 (DE-588)4125168-4 (DE-588)4029565-5 (DE-588)4113937-9 |
| title | The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID |
| title_auth | The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID |
| title_exact_search | The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID |
| title_full | The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID vorgelegt von Thomas Katzschner |
| title_fullStr | The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID vorgelegt von Thomas Katzschner |
| title_full_unstemmed | The microstructure of fragmented markets trading in DAX 30 stocks after the introduction of MiFID vorgelegt von Thomas Katzschner |
| title_short | The microstructure of fragmented markets |
| title_sort | the microstructure of fragmented markets trading in dax 30 stocks after the introduction of mifid |
| title_sub | trading in DAX 30 stocks after the introduction of MiFID |
| topic | Deutscher Aktienindex (DE-588)4266832-3 gnd Kapitalakkumulation (DE-588)4125168-4 gnd Kapitalbildung (DE-588)4029565-5 gnd |
| topic_facet | Deutscher Aktienindex Kapitalakkumulation Kapitalbildung Hochschulschrift |
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