Essays in High and Low Frequency Price Discovery
Loading...
Authors
Khan, Saad
Date
Type
thesis
Language
eng
Keyword
Price Discovery , Fragmentation , Fire Sales
Alternative Title
Abstract
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 variance decomposition and realized estimates I show that while jumps are extremely rare events, jump contribution to intraday price discovery is large. In Chapter 4, co-authored with Ryan Riordan, we examine the market dynamics of price jumps. We find that jumps have a predictable component which is captured by the degree of fragmentation in liquidity in minutes leading up to price jumps. Applying the methodology of Chapter 3, we show that fragmentation predicts noisier jumps. Lastly, in Chapter 5, co-authored with Evan Dudley, Luke Phelps and Ryan Riordan, we use mutual fund fire sales to decompose low frequency quarterly stock prices into an efficient and noise component. We show that more than a quarter of variance in low frequency stock prices is attributable to noise. Overall, this thesis finds that noise is an important component of both high and low frequency stock price variation.
Description
Citation
Publisher
License
Queen's University's Thesis/Dissertation Non-Exclusive License for Deposit to QSpace and Library and Archives Canada
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.
ProQuest PhD and Master's Theses International Dissemination Agreement
Intellectual Property Guidelines at Queen's University
Copying and Preserving Your Thesis
This publication is made available by the authority of the copyright owner solely for the purpose of private study and research and may not be copied or reproduced except as permitted by the copyright laws without written authority from the copyright owner.