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Essays on market microstructure
Descriptive
TitleInfo
Title
Essays on market microstructure
Name
(type = personal)
NamePart
(type = family)
Otsubo
NamePart
(type = given)
Yoichi
NamePart
(type = date)
1981-
DisplayForm
Yoichi Otsubo
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author
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Mizrach
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Bruce
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Bruce Mizrach
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Advisory Committee
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chair
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Landon-Lane
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John
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John Landon-Lane
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Advisory Committee
Role
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internal member
Name
(type = personal)
NamePart
(type = family)
Swanson
NamePart
(type = given)
Norman
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Norman Swanson
Affiliation
Advisory Committee
Role
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(authority = RULIB)
internal member
Name
(type = personal)
NamePart
(type = family)
Wu
NamePart
(type = given)
Yangru
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Yangru Wu
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Advisory Committee
Role
RoleTerm
(authority = RULIB)
outside member
Name
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NamePart
Rutgers University
Role
RoleTerm
(authority = RULIB)
degree grantor
Name
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NamePart
Graduate School - New Brunswick
Role
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(authority = RULIB)
school
TypeOfResource
Text
Genre
(authority = marcgt)
theses
OriginInfo
DateCreated
(qualifier = exact)
2011
DateOther
(qualifier = exact);
(type = degree)
2011-10
CopyrightDate
(qualifier = exact)
2011
Place
PlaceTerm
(type = code)
xx
Language
LanguageTerm
(authority = ISO639-2b);
(type = code)
eng
Abstract
(type = abstract)
The first essay analyzes the market microstructure of the European Climate Exchange (ECX), the largest European Union Emissions Trading Scheme trading venue. Spreads range from 2 to 6 times the minimum tick increment on European Union Allowances (EUA) futures. Market impact estimates imply that an average trade will move the EUA market by 1.08 euro centimes. Information shares imply that approximately 90% of price discovery is taking place in the ECX futures market. We find imbalances in the order book help predict returns for up to three days. A simple trading strategy that enters the market long or short when the order imbalance is strong is profitable even after accounting for spreads and market impact. The second essay provides a case that the Thompson-Waller (TW) estimator would have downward bias, which has not been carefully discussed in the literature. Such case is that (i) the buy (sell) order tends to follow buy (sell) order and (ii) the price changes associated to such orders are small. The upward bias of the TW estimator would be canceled out by the downward bias, and in such case the estimator would perform better than the other absolute price change methods. The application to the EUA futures contract trading implies that its trading pattern and the price change provide the conditions that reduce the bias of the TW estimator. The Madhavan, Richardson and Roomans model is applied to examine the spread component of the market. A dominance of asymmetric information component in the spread is found. The fraction of the spread attributable to that component increases gradually during the observation period. The final essay examines price discovery of Japanese companies' Tokyo-New York cross-listed shares. Kalman filter is utilized to estimate partial price adjustment model. By employing Kalman filter, the present research can deal with missing values problem researchers has to confront in order to analyze non-overlapping markets such as Tokyo and New York. I find that events with larger magnitude of efficient price change occur during Tokyo opening hours. Dynamic measure shows that New York Stock Exchange is more efficient in price discovery.
Subject
(authority = RUETD)
Topic
Economics
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TitleInfo
Title
Rutgers University Electronic Theses and Dissertations
Identifier
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ETD
Identifier
ETD_3433
PhysicalDescription
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electronic resource
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application/pdf
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text/xml
Extent
ix, 85 p. : ill.
Note
(type = degree)
Ph.D.
Note
(type = bibliography)
Includes bibliographical references
Note
(type = vita)
Includes vita
Note
(type = statement of responsibility)
by Yoichi Otsubo
Subject
(authority = ETD-LCSH)
Topic
Emissions trading--European Union countries
Identifier
(type = hdl)
http://hdl.rutgers.edu/1782.1/rucore10001600001.ETD.000063562
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TitleInfo
Title
Graduate School - New Brunswick Electronic Theses and Dissertations
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rucore19991600001
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NjNbRU
Identifier
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doi:10.7282/T3MC8Z3F
Genre
(authority = ExL-Esploro)
ETD doctoral
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Rights
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The author owns the copyright to this work.
RightsHolder
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Name
FamilyName
Otsubo
GivenName
Yoichi
Role
Copyright Holder
RightsEvent
Type
Permission or license
DateTime
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(point = start)
2011-05-27 12:54:43
AssociatedEntity
Name
Yoichi Otsubo
Role
Copyright holder
Affiliation
Rutgers University. Graduate School - New Brunswick
AssociatedObject
Type
License
Name
Author Agreement License
Detail
I hereby grant to the Rutgers University Libraries and to my school the non-exclusive right to archive, reproduce and distribute my thesis or dissertation, in whole or in part, and/or my abstract, in whole or in part, in and from an electronic format, subject to the release date subsequently stipulated in this submittal form and approved by my school. I represent and stipulate that the thesis or dissertation and its abstract are my original work, that they do not infringe or violate any rights of others, and that I make these grants as the sole owner of the rights to my thesis or dissertation and its abstract. I represent that I have obtained written permissions, when necessary, from the owner(s) of each third party copyrighted matter to be included in my thesis or dissertation and will supply copies of such upon request by my school. I acknowledge that RU ETD and my school will not distribute my thesis or dissertation or its abstract if, in their reasonable judgment, they believe all such rights have not been secured. I acknowledge that I retain ownership rights to the copyright of my work. I also retain the right to use all or part of this thesis or dissertation in future works, such as articles or books.
RightsEvent
DateTime
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(qualifier = exact);
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2011-10-31
DateTime
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2012-05-01
Type
Embargo
Detail
Access to this PDF has been restricted at the author's request. It will be publicly available after May 1st, 2012.
Copyright
Status
Copyright protected
Availability
Status
Open
Reason
Permission or license
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