• Essays in High and Low Frequency Price Discovery 

      Khan, Saad
      In this thesis, I examine high and low frequency price discovery for US equity markets. In Chapter 3, I propose a methodology to disentangle high frequency price jumps into a permanent and transitory component. Using a ...
    • Essays on Financial Economics 

      Xu, Ke
      This thesis contains three essays spanning the fields of financial market microstructure and empirical finance. The first essay focuses on reviewing the recent key innovations in trading technology–high frequency trading. I ...