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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Abstract/Index
(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.
References
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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