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Title: Essays on the role of time, volume and velocity in futures market microstructure : evidence from the Mexican derivatives exchange
Author: McFarlane, Lavern
ISNI:       0000 0004 2669 5074
Awarding Body: University of Manchester
Current Institution: University of Manchester
Date of Award: 2009
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This thesis consists of three essays that examine several market microstructure hypotheses in the context of an emerging futures market, with a particular emphasis on understanding: (i) the price impact of various trading variables and (ii) the role of time in the trading process.
Supervisor: Not available Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available