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Information and Liquidity in the Agg...

Tran, Ly.

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Information and Liquidity in the Aggregated Foreign-Exchange Limit-Order Book.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Information and Liquidity in the Aggregated Foreign-Exchange Limit-Order Book./
Author:	Tran, Ly.
Description:	127 p.
Notes:	Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
Contained By:	Dissertation Abstracts International77-01A(E).
Subject:	Finance. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3721635
ISBN:	9781339032870

Information and Liquidity in the Aggregated Foreign-Exchange Limit-Order Book.
Tran, Ly.

Information and Liquidity in the Aggregated Foreign-Exchange Limit-Order Book. - 127 p.

Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.

Thesis (Ph.D.)--Brandeis University, International Business School, 2015.

In this dissertation, I study the foreign-exchange limit-order book, aggregated from multiple exchanges, both at and beyond the best quotes.

ISBN: 9781339032870Subjects--Topical Terms:

542899
Finance.

Information and Liquidity in the Aggregated Foreign-Exchange Limit-Order Book.
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245 1 0 $a Information and Liquidity in the Aggregated Foreign-Exchange Limit-Order Book.
300 $a 127 p.
500 $a Source: Dissertation Abstracts International, Volume: 77-01(E), Section: A.
500 $a Adviser: Carol Osler.
502 $a Thesis (Ph.D.)--Brandeis University, International Business School, 2015.
520 $a In this dissertation, I study the foreign-exchange limit-order book, aggregated from multiple exchanges, both at and beyond the best quotes.
520 $a The first essay, "Locks, Crosses, and the Limit-Order Book in the Foreign Exchange ECNs," studies locks and crosses - zero and negative spreads, respectively -- and three hypotheses on their origins: information, market conditions, and maker-taker pricing. Cross variables, but not locks', have predictive power for future returns and volatility. Crosses also contribute more to price changes than locks and normal market, supporting the information hypothesis for crosses. In a fragmented market, certain market conditions, such as high volatility and low liquidity, are determinants of crosses, while the probability of locks is independent of market conditions. Locks and crosses could also occur due to simultaneous quotes or delayed quote updates on multiple trading venues. The maker-taker pricing hypothesis can explain locks but not crosses. The findings also imply that the limit order books carry information via crosses.
520 $a The second essay, "Depth and Information in the Limit-Order Markets: A Non-Linear Approach," introduces a non-linear approach to measuring the limit-order book and shows that it substantially improves on linear measures in identifying the book's information content. We first confirm earlier findings that two linear order book measures -- net depth at the quotes and net depth beyond the quotes - have in-sample predictive power for future returns. This holds for our shortest horizons, one and five minutes as well as our longest horizon, two days. We then present our non-linear order-book measures, Slope and Curve, which exploit the parsimonious but flexible Laguerre function. We show that Slope and Curve have greater in-sample predictive power for future returns than the linear measures, which indicates that limit orders beyond the quotes are more informative for future returns than limit orders at the quotes. At our shortest horizons of one and five minutes, Slope and Curve also provide higher out-of-sample predictive power than linear measures and random walk models.
520 $a The third essay, "Liquidity Commonality in the FX ECNs," studies the liquidity commonality of currency market both at and beyond the best quotes. I test for the co-movement of individual currencies' liquidity and own-group or other-group liquidity, and find that (i) liquidity commonality is present both inside and outside the book, (ii) level of liquidity commonality, proxied by adjusted R.
520 $a 2, is high for currency markets, (iii) outside liquidity commonalityis present as far as 20mn deep into the book, and (iv) no funding constraint, short-term interest rate, or volatility factors are consistently associated with liquidity commonality levels in the currency market.
590 $a School code: 1350.
650 4 $a Finance. $3 542899
650 4 $a Economic theory. $3 1556984
650 4 $a Economics. $3 517137
690 $a 0508
690 $a 0511
690 $a 0501
710 2 $a Brandeis University, International Business School. $b International Economics. $3 1270026
773 0 $t Dissertation Abstracts International $g 77-01A(E).
790 $a 1350
791 $a Ph.D.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=3721635