Information asymmetries: three essays in market microstructure:
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| Main Author: | |
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| Format: | Thesis Book |
| Language: | English |
| Published: |
Bonn
2015
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | V, 121 Seiten Diagramme |
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Record in the Search Index
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| adam_text | Titel: Information asymmetries: three essays in market microstructure
Autor: Zehnder, Lars Simon
Jahr: 2015
Contents
I. Estimation of trading costs: Trade indicator models revisited 8
1. Introduction 9
2. Data 10
3. Trade indicator models 11
3.1. The model by Madhavan, Richardson and Roomans..................................12
3.1-1. Structural model..................................................................12
3.1.2. Estimation of basic model........................................................15
3.1.3. Statistical model ..................................................................15
3.1.4. Estimation of covariances........................................................17
3.1.5. Estimation of VAR model........................................................18
3.2. The model by Huang and Stoll..........................................................20
3.2.1. Estimating the basic model......................................................20
3.2.2. Statistical model ..................................................................20
3.2.3. Estimation of covariances........................................................21
3.2.4. Estimation of VAR model........................................................22
4. Conclusion 22
Appendices 24
A. Tables 24
II. Bayesian estimation of the probability of informed trading 39
1. Introduction 40
2. Econometric methodology 42
2.1. Model........................................................................................42
2.2. Mixture likelihood and complete-data likelihood representation for the compressed
EKOP model................................................................................43
2.3. Posterior, prior, and hyperprior distributions..........................................45
2.4. Gibbs sampling and Bayesian point estimates..........................................47
3. Results
3.1. Simulation Results....................................
3.2. An algorithm to choose a best estimator........................
4. Conclusion
Appendices
A. Derivations
A.l. Derivation of posterior distributions..........................
A.2. Derivation of the posterior Gamma distribution ...................
B. Algorithms
B.l. MCMC algorithm.....................................
B.2. Bias-reducing algorithm.................................
C. Tables
III. The probability of informed trading on U.S. corporate bond markets:
Conclusions from a fragmented market
1. Introduction
2. Market structure and literature
2.1. Trading on secondary markets..............................
2.1.1. Electronic quotation systems..........................
2.1.2. Market participants................................
2.1.3. Introduction of TRACE .............................
2.2. Related literature.....................................
3. Data
4. Estimation and results
4.1. Cross-sectional regressions................................
4.2. Comparison of PINs between corporate bond and corresponding equity markets
A. Conclusion
Appendices
A. Cleaning the enhanced TRACE data set
49
50
61
65
67
67
67
69
70
70
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72
82
83
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102
105
109
109
B. Tables
111
|
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| spelling | Zehnder, Lars Simon 1980- Verfasser (DE-588)107968896X aut Information asymmetries: three essays in market microstructure vorgelegt von Lars Simon Zehnder ; Erstreferent: Prof. Dr. Hendrik Hakenes Bonn 2015 V, 121 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Dissertation Rheinische Friedrich-Wilhelms-Universität Bonn 2015 Rechts- und Staatswissenschaftliche Fakultät (DE-588)4113937-9 Hochschulschrift gnd-content Hakenes, Hendrik 1971- (DE-588)141277580 dgs Erscheint auch als Online-Ausgabe Information asymmetries three essays in market microstructure / Lars Simon Zehnder HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=028867986&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Zehnder, Lars Simon 1980- Information asymmetries: three essays in market microstructure |
| subject_GND | (DE-588)4113937-9 |
| title | Information asymmetries: three essays in market microstructure |
| title_auth | Information asymmetries: three essays in market microstructure |
| title_exact_search | Information asymmetries: three essays in market microstructure |
| title_full | Information asymmetries: three essays in market microstructure vorgelegt von Lars Simon Zehnder ; Erstreferent: Prof. Dr. Hendrik Hakenes |
| title_fullStr | Information asymmetries: three essays in market microstructure vorgelegt von Lars Simon Zehnder ; Erstreferent: Prof. Dr. Hendrik Hakenes |
| title_full_unstemmed | Information asymmetries: three essays in market microstructure vorgelegt von Lars Simon Zehnder ; Erstreferent: Prof. Dr. Hendrik Hakenes |
| title_short | Information asymmetries: three essays in market microstructure |
| title_sort | information asymmetries three essays in market microstructure |
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