Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.695026
Title: Essays on the microstructure of informed trading and hidden orders in futures markets
Author: Phuensane, Pongsutti
ISNI:       0000 0004 5993 9063
Awarding Body: Durham University
Current Institution: Durham University
Date of Award: 2016
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Abstract:
The thesis seeks a better understanding of the market microstructure topic, evaluates an informed trading measurement tool that is available for econometricians, and attempts to measure the impact of the presence of hidden liquidity to market quality. The two favorable prevailing informed trading detection, PIN, and VPIN models are used to investigate the informed trading activity around LIBOR manipulation in the LIBOR reference futures market- Eurodollar futures. These two models show a significant performance as an early warning system, however, there is not statistically significant differences relative to the event in the long-run variation. In addition to the chapter seven of this thesis, I examine the relationship between market quality and hidden liquidity, uncovering a strong positive effect from hidden order to market quality proxies.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.695026  DOI: Not available
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