Search for dissertations about: "caihong xu"

Found 2 swedish dissertations containing the words caihong xu.

2. 1. Essays on Derivatives and Liquidity

   Author : Caihong Xu; Lars Nordén; Björn Hagströmer; Hans Byström; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Index options; volatility smile; liquidity; index futures; expiration-day effects; limit order book; trading patience; order flows; gold futures; hedging; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four essays in which derivatives markets are studied in relation to three related topics in financial economics: asset pricing, market microstructure and risk management.Essay I studies the role of relative option liquidity in explaining the volatility smile. READ MORE

4. 2. Changing the Rules of the Game : A Market Microstructure Perspective on the Effects of Regulating Financial Markets

   Author : Ester Félez Viñas; Björn Hagströmer; Caihong Xu; Mathijs van Dijk; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Market fragmentation; liquidity; resiliency; short selling ban; commonality in liquidity; financial contagion; call auction; market integrity; auction attractiveness; price efficiency; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four articles that examine the effects brought about by the implementation of new regulations and changes in the trading landscape on different facets of market quality and integrity.Article I studies how the fragmentation of equity markets affects the speed of recovery of the market, both under normal market conditions and in times of stress. READ MORE