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Essays in Finance.

Record Type:	Language materials, manuscript : Monograph/item
Title/Author:	Essays in Finance./
Author:	Nikolsko-Rzhevska, Olena.
Description:	1 online resource (134 pages)
Notes:	Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
Contained By:	Dissertation Abstracts International79-10A(E).
Subject:	Finance. -
Online resource:	click for full text (PQDT)
ISBN:	9780355983777

Essays in Finance.
Nikolsko-Rzhevska, Olena.

Essays in Finance. - 1 online resource (134 pages)

Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.

Thesis (Ph.D.)--The University of Memphis, 2018.

Includes bibliographical references

This dissertation comprises three essays on the microstructure of financial markets. The first essay shows that traders supply phantom liquidity by placing duplicate orders simultaneously on multiple exchanges, with the intent to execute only one. We find that on an average day, half of observed liquidity is duplicate liquidity. The second essay studies order revisions on NASDAQ. We document significant differences between revisions and cancellations/placements. We also find evidence of deleterious effects of revisions on market quality. Our results show that while traders appear to respond rationally to new information by updating their orders, there exist stable predictable patterns in the behavior of order revisions. In the third essay, we show that a recent increase in short-lived phantom cancellations puts slow traders at a disadvantage. We develop a framework that allows traders to differentiate between a firm and a phantom quote, which can increase the fill rate of their orders. All three essays contribute to our understanding of the microstructure of financial markets.

Electronic reproduction.
Ann Arbor, Mich. :
ProQuest,
2018

Mode of access: World Wide Web

ISBN: 9780355983777Subjects--Topical Terms:

559073
Finance.
Index Terms--Genre/Form:

554714
Electronic books.

Essays in Finance.
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100 1 $a Nikolsko-Rzhevska, Olena. $3 1191058
245 1 0 $a Essays in Finance.
264 0 $c 2018
300 $a 1 online resource (134 pages)
336 $a text $b txt $2 rdacontent
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500 $a Source: Dissertation Abstracts International, Volume: 79-10(E), Section: A.
500 $a Advisers: Thomas McInish; Pankaj Jain.
502 $a Thesis (Ph.D.)--The University of Memphis, 2018.
504 $a Includes bibliographical references
520 $a This dissertation comprises three essays on the microstructure of financial markets. The first essay shows that traders supply phantom liquidity by placing duplicate orders simultaneously on multiple exchanges, with the intent to execute only one. We find that on an average day, half of observed liquidity is duplicate liquidity. The second essay studies order revisions on NASDAQ. We document significant differences between revisions and cancellations/placements. We also find evidence of deleterious effects of revisions on market quality. Our results show that while traders appear to respond rationally to new information by updating their orders, there exist stable predictable patterns in the behavior of order revisions. In the third essay, we show that a recent increase in short-lived phantom cancellations puts slow traders at a disadvantage. We develop a framework that allows traders to differentiate between a firm and a phantom quote, which can increase the fill rate of their orders. All three essays contribute to our understanding of the microstructure of financial markets.
533 $a Electronic reproduction. $b Ann Arbor, Mich. : $c ProQuest, $d 2018
538 $a Mode of access: World Wide Web
650 4 $a Finance. $3 559073
655 7 $a Electronic books. $2 local $3 554714
690 $a 0508
710 2 $a ProQuest Information and Learning Co. $3 1178819
710 2 $a The University of Memphis. $b Business Administration. $3 1191059
773 0 $t Dissertation Abstracts International $g 79-10A(E).
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10784549 $z click for full text (PQDT)