High frequancy trading illiquidity patterns

D'Amato, Andrea (A.A. 2018/2019) High frequancy trading illiquidity patterns. Tesi di Laurea in Empirical finance, Luiss Guido Carli, relatore Paolo Santucci de Magistris, pp. 79. [Master's Degree Thesis]

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(Il-)liquidity measures. High frequency measures. Realized volatility theory. Market microstructure. Stationary and integrated process. Data set and preliminary study. Empirical analysis. Best liquidity measure proxies.


Bibliografia: pp. 57-65.

Thesis Type: Master's Degree Thesis
Institution: Luiss Guido Carli
Degree Program: Master's Degree Programs > Master's Degree Program in Economics and Finance (LM-56)
Chair: Empirical finance
Thesis Supervisor: Santucci de Magistris, Paolo
Thesis Co-Supervisor: Grassi, Stefano
Academic Year: 2018/2019
Session: Autumn
Deposited by: Alessandro Perfetti
Date Deposited: 06 Apr 2020 09:34
Last Modified: 06 Apr 2020 09:34
URI: https://tesi.luiss.it/id/eprint/26273


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