O propósito dessa pesquisa é estudar a relação entre a revelação de informação corporativa e o comportamento de uma seleção de empresas com fortes políticas de revelação de informação e alto grau de capitalização do Mercado Acionário da Colômbia, para o ano 2014. Mediante esse estudo, é analisada a microestrutura utilizando informação de alta frequência e notícias corporativas publicadas na plataforma de Bloomberg Professional Services. A metodologia de análise para prover evidência da relação foi o estudo de eventos, testando a significância da diferença entre as médias e medianas pré-evento e pós-evento de alguns indicadores de liquidez, retorno e volatilidade. Os resultados permitem concluir que a disseminação de informação tem um impacto sobre a liquidez e a volatilidade do mercado. Percebe-se que no período posterior à publicação das notícias, o tamanho dos bid-ask spreads e a volatilidade do midquote diminui, os investidores negociam em média menores volumes e quantidade de operações e submetem menor quantidade de intenções de compra e venda. / The purpose of this investigation is to study the relationship between corporate disclosure and the behavior of a selection of companies, with strong disclosure policies and high market capitalization ratio of the Colombian Stock Market, for the entire year 2014. The idea of this investigation is to analyze the market microstructure using high frequency data and corporate information publicized through the Bloomberg professional services platform. The estimation technique to provide evidence of the relationship is the event study, testing the significance of the difference between the pre-event and post-event average and median of some indicators of return, liquidity and volatility. The results prove that the disemintation of information impact the market liquidity and volatility. It is noticed that in the post-event window, bid-ask spreads and volatility of the midquote decreases, traders negociate on average lower volums and number of transactions and submit fewer buy and sell order intentions.

Submitted by Alexandre Monte (alexandrecruzmonte@msn.com) on 2013-04-08T12:35:22Z No. of bitstreams: 1 AlexandreMonte_CMEE_VF.pdf: 1223886 bytes, checksum: 0c9d8aa064c5947f3e1971c7b565ab86 (MD5) / Approved for entry into archive by Suzinei Teles Garcia Garcia (suzinei.garcia@fgv.br) on 2013-04-08T14:13:34Z (GMT) No. of bitstreams: 1 AlexandreMonte_CMEE_VF.pdf: 1223886 bytes, checksum: 0c9d8aa064c5947f3e1971c7b565ab86 (MD5) / Made available in DSpace on 2013-04-08T14:18:01Z (GMT). No. of bitstreams: 1 AlexandreMonte_CMEE_VF.pdf: 1223886 bytes, checksum: 0c9d8aa064c5947f3e1971c7b565ab86 (MD5) Previous issue date: 2013-03-20 / This paper investigates the expectations and information asymmetries that agents have regarding a particular financial asset, in our case the preferred shares of Petrobrás. In order to investigate this we are going to use two approaches. The first one is based on Bates (1991) where through the estimation of the parameters implicit in stock option prices we can extract information about the moments of the agent’s stock prices probability distribution. The other one follows Easley et al (1996) and though the stock prices microstructure analysis provide a methodology to infer about the presence of information asymmetry between market agents, i.e. , if there are some people trading the share with a higher level of information than others. According to the results presented in this paper, the methodology discussed in Bates (1991) was efficient to capture market agent’s expectations, especially the subprime crisis reversal in 2008. The estimated value of the informed trading probability for Petrobrás shares is low, which means that negotiate this asset generate lower cost information to agents that reaches the market with a lower level of information. / No artigo serão investigadas as expectativas e assimetrias de informação que os agentes possuem a respeito de um determinado ativo financeiro, no nosso caso as ações preferenciais da Petrobrás. Para isso utilizaremos duas metodologias. A primeira é baseada em Bates (1991) onde através da estimação de parâmetros implícitos nos prêmios de opções é possível extrair informação sobre vários momentos da distribuição de probabilidade do ativo objeto referente à opção. A outra metodologia segue Easley et al (1996) e através da análise dos microdados dos preços de ativos fornece uma metodologia para inferir acerca da assimetria de informação entre os agentes, ou seja, se existem pessoas com um nível de informação maior do que outras negociando um ativo. Os resultados obtidos mostram que a metodologia discutida em Bates (1991) foi eficiente para captar a expectativa de mercado dos agentes, principalmente na reversão da crise do subprime em 2008 e que as ações da Petrobrás apresentam baixos valores para probabilidade da negociação ser com informação gerando um menor custo aos agentes que chegam ao mercado menos informados.

This Ph.D. thesis deals with questions related to the housing market, and answers the questions: "Does it matter if housing markets are underpriced?" and "How do the legal system and the loan contract affect those who default on their mortgage payments? "When selling a home, a popular marketing strategy is to set the list price far below market value. The idea is that a low list price will attract loads of buyers, who will push up the sale price. This thesis finds that a voluntary reform can reduce underpricing in the short run. Further, underpriced housing markets do indeed require more attention from potential buyers during all stages — online, at open houses, and during the bidding. This extra search effort is costly to society. However, underpricing is found not to affect the sale price, the time to sell, who the buyers are, or how hard the real estate agent works. The household's choice to default on a mortgage depends on the cost of the default (the legal system) and the mortgage contract. By studying a heterogeneous agent consumption/savings lifecycle model, this thesis finds that households prefer "lender friendly" laws that are costly for the homeowners upon default. This is because costly defaults yield fewer defaulters and thus lower interest rates, and thus are cheaper for non-defaulters. Households always prefer non-amortizing mortgages except when defaults do not have any cost associated with them, and they prefer adjustable rates over fixed rates. The benefits of costly defaults are particularly large for non-amortizing mortgages. The thesis concludes with the development of a new mathematical method to solve a particular class of dynamic programming problems, using stochastic simulated grids and nearest-neighbour interpolation.​

The purpose of this thesis is to analyze market making trading strategy and explore possibilities of using such strategy for intraday trading on the markets with the limit order book. In theoretical part we prove profitability of specified market making strategy under certain assumptions and moreover analyze effect of change of parameters on the performance of the strategy using one dimensional stochastic processes. Next the assumption of constant fair price is relaxed which leads to deterioration of profitability of these strategies. Because one dimensional stochastic processes do not capture price creation in the real world, we propose stochastic model of intraday trading in the next chapter. Advantage of this approach is that we can observe state of the limit order book during whole trading session and therefore better simulate conditions for test of the strategies. Although proposed model exhibit many phenomenons observed in empirical data like volatility clustering, in some situations it produces unrealistically high spread caused by the construction of the model, because arrivals of market and limit orders are modeled as independent processes. Another disadvantages are need of relatively extensive data for model calibration and high sensitivity of model to change of parameters. Lastly we test three different market making strategies under different choice of model parameters and show that expected profitability is positive in all cases.

Cette thèse est composée de trois chapitres distincts. Dans le premier chapitre, coécrit avec Edouard Challe, nous analysons la détermination jointe de l'information incorporée dans les prix, et la composition du marché par type d’ordres sur un marché d'actifs avec information dispersée. La microstructure du marché est telle que les agents informés peuvent placer soit des ordres de marché simples, soit un ensemble d’ordres limites. Les market-makers établissent le prix. Les agents utilisant des ordres de marché simple négocient moins agressivement sur leur information et réduisent ainsi le contenu informationnel du prix; dans un marché où seul ce type d’ordre est présent, l'information incorporée dans le prix est limitée, quelle que soit la qualité de l'information des agents sur le dividende de l'actif. Lorsque les agents peuvent choisir leur type d'ordre et les ordres limites sont plus coûteux que les ordres de marché, alors les agents choisissent majoritairement les ordres de marché lorsque la précision des signaux privés tend vers l'infini. Les ordres limites sont des substituts: à des niveaux élevés de précision, une fraction résiduelle d’agents plaçant des ordres limites est suffisante pour aligner le prix aux signaux des agents, et donc au dividende. Ainsi le gain à conditionner ses ordres au prix (via des ordres limites) en plus de son propre signal (comme le font tous les agents) disparaît. Nous appliquons ensuite ce mécanisme dans le deuxième chapitre de cette thèse. Les spéculateurs envisageant une attaque (comme dans le cas des crises de change) doivent deviner les croyances des autres spéculateurs, ce qu'ils peuvent faire en regardant le marché boursier. Ce chapitre examine si ce processus de collecte d'informations est stabilisateur, en ancrant mieux les attentes ou déstabilisateur en générant des équilibres multiples. Pour ce faire, nous étudions les résultats d'un jeu global en deux étapes où un prix d'actif déterminé au stade de négociation du jeu fournit un signal public endogène sur le fondamental qui affecte la décision des agents d'attaquer dans la phase de coordination du jeu. La microstructure du marché d’actif reprend celle étudiée dans le premier chapitre. Les frictions de microstructure qui conduisent à une plus grande exposition individuelle (au risque d'exécution des prix) peuvent réduire l'incertitude agrégée (en fixant un résultat d'équilibre unique). Enfin, dans le troisième chapitre, en collaboration avec Victor Lyonnet, nous présentons un modèle des interactions entre les banques traditionnelles et les shadow banks qui parle de leur coexistence. Au cours de la crise financière de 2007, certains actifs et passifs des shadow banks sont passées aux banques traditionnelles et les actifs ont été vendus à des prix de fire sale. Notre modèle réplique ces faits stylisés. La différence entre les banques traditionnelles et les shadow banks est double. Premièrement, les banques traditionnelles ont accès à un fonds de garantie qui leur permet de se financer sans risque en période de crise. Deuxièmement, les banques traditionnelles doivent respecter une réglementation coûteuse. Nous montrons qu'en cas de crise, les shadow banks liquident les actifs pour rembourser leurs créanciers, alors que les banques traditionnelles achètent ces actifs à des prix de fire sale. Cet échange d'actifs en temps de crise génère une complémentarité entre les banques traditionnelles et les shadow banks, où chaque type d'intermédiaire profite de la présence de l'autre. Nous constatons deux effets concurrents d'une petite diminution du soutien des banques traditionnelles en période de crise, que nous appelons effet de substitution et effet de revenu. Ce dernier effet domine le premier, de sorte qu’un niveau de soutien anticipé plus faible aux banques traditionnelles en temps de crise induit plus de banquiers à s’orienter vers le secteur traditionnel ex-ante. / This dissertation is made of three distinct chapters. In the first chapter, which is joint with Edouard Challe, we analyse the joint determination of price informativeness and the composition of the market by order type in a large asset market with dispersed information. The market microstructure is one in which informed traders may place market orders or full demand schedules and where market makers set the price. Market-order traders trade less aggressively on their information and thus reduce the informativeness of the price; in a full market-order market, price informativeness is bounded, whatever the quality of traders’ information about the asset’s dividend. When traders can choose their order type and demand schedules are (even marginally) costlier than market orders, then market-order traders overwhelm the market when the precision of private signals goes to infinity. This is because demand schedules are substitutes: at high levels of precision, a residual fraction of demand-schedule traders is sufficient to take the trading price close to traders’ signals, while the latter is itself well aligned with the dividend. Hence, the gain from trading conditional on the price (as demand-schedule traders do) in addition to one’s own signal (as all informed traders do) vanishes. We then apply this idea in the second chapter of this dissertation. Speculators contemplating an attack (e.g., on a currency peg) must guess the beliefs of other speculators, which they can do by looking at the stock market. This chapter examines whether this information-gathering process is stabilizing by better anchoring expectations or destabilizing by creating multiple self-fulfilling equilibria. To do so, we study the outcome of a two-stage global game wherein an asset price determined at the trading stage of the game provides an endogenous public signal about the fundamental that affects traders’ decision to attack in the coordination stage of the game. The trading stage follows the microstructure of the first chapter. Price execution risk reduces traders’ aggressiveness and hence slows down information aggregation, which ultimately makes multiple equilibria in the coordination stage less likely. In this sense, microstructure frictions that lead to greater individual exposure (to price execution risk) may reduce aggregate uncertainty (by pinning down a unique equilibrium outcome). Finally, in the third chapter, joint with Victor Lyonnet, we present a model of the interactions between traditional and shadow banks that speaks to their coexistence. In the 2007 financial crisis, some of shadow banks’ assets and liabilities have moved to traditional banks, and assets were sold at fire sale prices. Our model is able to accommodate these stylized facts. The difference between traditional and shadow banks is twofold. First, traditional banks have access to a guarantee fund that enables them to issue claims to households in a crisis. Second, traditional banks have to comply with costly regulation. We show that in a crisis, shadow banks liquidate assets to repay their creditors, while traditional banks purchase these assets at fire-sale prices. This exchange of assets in a crisis generates a complementarity between traditional and shadow banks, where each type of intermediary benefits from the presence of the other. We find two competing effects from a small decrease in traditional banks’ support in a crisis, which we dub a substitution effect and an income effect. The latter effect dominates the former, so that lower anticipated support to traditional banks in a crisis induces more bankers to run a traditional bank ex-ante.

Cette thèse est composée de quatre chapitres.Le premier chapitre est une description préliminaire de la base de données Factset Ownership. Nous en donnons une description statistique et exposons quelques faits stylisés caractérisant notamment la structure du portefeuille des institutions financières et fonds d'investissement, ainsi que la capitalisation boursière des entreprises y étant recensées.Le second chapitre propose une méthode d'évaluation statistique de la similarité entre des paires de portefeuilles d'institutions financières. Une paire statistiquement significative donnant lieu à la création d'un lien de similarité entre ces deux entités, nous sommes en mesure de projeter un réseau à l'origine bi-partite (entre institutions financières et entreprises) en un réseau mono-partite (entre institutions uniquement) afin d'en étudier l'évolution de sa structure au cours du temps. En effet, d'un point de vue économique, il est suspecté que les motifs d'investissements similaires constituent un facteur de risque important de contagion financière pouvant être à l'origine de banqueroutes aux conséquences systémiques significatives.Le troisième chapitre s'intéresse aux comportements collectifs des gestionnaires de fonds d'investissement et, en particulier, à la manière dont la structure du portefeuille de ces fonds prend en compte, en moyenne, de façon optimale les frais de transaction en présence de faibles contraintes d'investissements. Ce phénomène où, dans de nombreuses situations, la médiane ou la moyenne des estimations d'un groupe de personnes est étonnamment proche de la valeur réelle, est connu sous le nom de sagesse de la foule.Le quatrième chapitre est consacré à l'étude simultanée de données de marché. Nous utilisons plus de 6.7 milliards de trades de la base de données Thomson-Reuters Tick History, et de données de portefeuille de la base FactSet Ownership. Nous étudions la dynamique tick-à-tick du carnet d'ordres ainsi que l'action aggrégée, c'est-à-dire sur une échelle de temps bien plus grande, des fonds d'investissement. Nous montrons notamment que la mémoire longue du signe des ordres au marché est bien plus courte en présence de l'action, absolue ou directionnelle, des fonds d'investissement. Réciproquement nous expliquons dans quelle mesure une action caractérisée par une mémoire faible est sujette à du trading directionnel provenant de l'action des fonds d'investissement. / The thesis is divided into four parts.Part I introduces and provides a technical description of the FactSet Ownership dataset together with some preliminary statistics and a set of stylized facts emerging from the portfolio structure of large financial institutions, and from the capitalization of recorded securities.Part II proposes a method to assess the statistical significance of the overlap between pairs of heterogeneously diversified portfolios. This method is then applied to public assets ownership data reported by financial institutions in order to infer statistically robust links between the portfolios of financial institutions based on similar patterns of investment. From an economic point of view, it is suspected that the overlapping holding of financial institution is an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at a systemic level.Part III investigates the collective behaviour of fund manager and, in particular, how the average portfolio structure of institutional investors optimally accounts for transactions costs when investment constraints are weak. The collective ability of a crowd to accurately estimate an unknown quantity is known as the Wisdom of the Crowd. In many situation, the median or average estimate of a group of unrelated individuals is surprisingly close to the true value.In Part IV, we use more than 6.7 billions of trades from the Thomson-Reuters Tick History database and the ownership data from FactSet. We show how the tick-by-tick dynamics of limit order book data depends on the aggregate actions of large funds acting on much larger time scale. In particular, we find that the well-established long memory of marker order signs is markedly weaker when large investment funds trade in a markedly directional way or when their aggregate participation ratio is large. Conversely, we investigate to what respect an asset with a weak memory experiences direction trading from large funds.

No description available.

<p> This dissertation consists of two topics. In chapter 1, we develop a discrete disaggregated model in which, the market maker can observe individual order flow instead of a batch order in Kyle (1985). The model suggests that the behavior of the uninformed traders play an important role in how the informed make the optimal trading strategy : when the uninformed is more likely to use large order, the informed will also trade large, no matter what size of signal he receives, and when the uninformed tend to trade with small size order, the informed will have to trade small quantity to maximize his expected profit, even if he receives the large value signal. When the uninformed does not prefer size of order, the informed will trade smaller (larger) quantities when receiving small(large) value signals. The result is consistent with the behavior of the informed in Kyle (1985). We further investigate order flow disaggregation on market liquidity by comparing aggregated order flow structure, in which market maker observes aggregated order flow. When the model setup is symmetric, the aggregated structure can provide more liquidity, while the disaggregated structure is more liquid under the asymmetric model setup. In chapter 2, we employ the type 2 joint power law distribution in Mardia (1962) to study the joint effect of the return and trading volume. The parameter estimate for marginal distribution in joint power-law exhibits the same pattern as in univariate power law literature for return and volume, but the value are smaller due to the joint effect of return and trading volume. However, we find the joint power law shows higher predictability than the univariate power law by employing the measure MSE (Means squared error). Additionally, the type 2 joint power law indicates the linear relationship between log absolute value of return and log trading volume , which suggests the none linear impact of trading volume on price. We also find that, as sampling interval shrinks from day to 15 seconds, the price impact will increase. And also as the waiting time for two consecutive transactions shrinks, the price impact will increase, which is in line with the result of Dufour and Engle (2000). </p>

The first purpose of this paper is to assess the short-run forecasting capabilities of two competing financial duration models. The forecast performance of the Autoregressive Conditional Multinomial–Autoregressive Conditional Duration (ACM-ACD) model is better than the Asymmetric Autoregressive Conditional Duration (AACD) model. However, the ACM-ACD model is more complex in terms of the computational setting and is more sensitive to starting values. The second purpose is to examine the effects of market microstructure on the forecasting performance of the two models. The results indicate that the forecast performance of the models generally decreases as the liquidity of the stock increases, with the exception of the most liquid stocks. Furthermore, a simple filter of the raw data improves the performance of both models. Finally, the results suggest that both models capture the characteristics of the micro data very well with a minimum sample length of 20 days.

During the past 30 years, the proliferation of electronic trading has catalysed profound structural change in the global foreign exchange (FX) spot market. Today, more than 60% of the market's volume occurs via electronic trading platforms, which provide traders with round-the-clock market access from anywhere in the world. Such platforms offer several practical benefits that have encouraged market participation from a broad new class of financial institutions and have thereby spurred market growth. The most widely used electronic trading platforms in the FX spot market incorporate several features that differentiate them from those used in other financial markets. These features raise many important questions about order flow, market state, price formation, trader behaviour, and volatility. Despite the enormous trade volumes that such platforms facilitate, these questions have received almost no attention to date. In this thesis, we study a recent, high-quality data set from a large electronic trading platform in the FX spot market in order to investigate several aspects of trading via this mechanism. We calculate a wide range of statistics regarding order flow and market state, and we highlight how our findings contrast to those reported by empirical studies of electronic trading platforms in other markets. We study the autocorrelation properties of returns, absolute returns, and order flow, and we investigate the extent to which the market's organization impacts price formation. We also introduce a model designed to reproduce the most important properties of trading via such a platform. We derive several results regarding the model's temporal evolution, and we simulate the model to investigate how the interactions between individual traders influence volatility. We conclude that electronic trading platforms in the FX spot market retain many desirable features of centralized markets while providing traders with explicit control over their personal trading partnerships.