Business Commons^™

Trading Dynamics In A Fragmented Market, Krzysztof Herman

Dissertations - ALL

In this dissertation, we study the effect of recent regulatory and technological changes on trading

dynamics. Advances in communication and computing technologies have made millisecond

latencies as the new trading standard and have resulted in a new era of automated trading. The

introduction of Reg-NMS (Regulation National Market System, implemented in 2007) has set

strict rules for the access and removal of liquidity from the fragmented US equity market, de

facto linking the trading activities across trading venues. These transformations have not only

changed how equity markets function but also how market participants interact with the market

and among themselves. …

Applications Of Search Theory In Finance, Hongyu Song

Finance - Dissertations

In this dissertation, I apply two types of search based theoretical models to interpret two important issues in finance, respectively. (1)The first essay belongs to the field of corporate finance, in which a random search model is set up to describe the pre-IPO market searching and matching process between private firms with intent to sell equity in an IPO and investment banks (IB) that underwrite the issue. Our model tightly links many IPO-related phenomena such as IPO underpricing and long run underperformance under one unified searching framework. (2) The second essay is related to market microstructure, i.e. bid-ask spread, in …