Use this URL to cite or link to this record in EThOS: https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.781501
Title: Studies on high frequency financial markets
Author: Dao, Thong Minh
ISNI:       0000 0004 7967 1244
Awarding Body: University of Southampton
Current Institution: University of Southampton
Date of Award: 2019
Availability of Full Text:
Access from EThOS:
Full text unavailable from EThOS. Please try the link below.
Access from Institution:
Abstract:
This thesis examines high frequency financial markets in terms of the relationship among financial instruments. Chapter 2 paves the way for subsequent chapters by providing a detailed delineation of high frequency markets, the main context of this work, and discussing various topics such as the significance and popularity of high frequency trading (HFT) as well as its positive and negative impacts on today's markets. Chapter 3, 4 and 5 are three research papers which focus on multiple aspects of the high frequency relationship among financial assets including correlation, lead-lag effects and volatility transmission. Specifically, chapter 3 studies pairs trading, a popular trading strategy based on correlation and designed to exploit related securities. Among other things, this chapter explains why the literature may have consistently underestimated the level of pairs trading profitability and market inefficiency, and then proposes a new trading rule to correct this bias which outperforms the standard rule used by previous papers. On the other hand, chapter 4 analyses the lead-lag relationship between instruments and identifies an important factor that has an impact on this relationship, namely the rate of information arrival. This chapter has been accepted for publication in Quantitative Finance. Finally, chapter 5 investigates the influence of the Brexit referendum, an important political event, on currency markets. This chapter shows that the event has affected the correlation and volatility spillover among exchange rates in a way that suggests a flight to quality and is consistent with the reduced market integration between the UK and the EU due to the UK's decision to leave the EU.
Supervisor: Mcgroarty, Francis Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.781501  DOI: Not available
Share: