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Concept

Market microstructure

Related publications (5)

Slow Moving Capital and Trade Execution Costs: Evidence from a major trading Glitch

Pierre Collin-Dufresne, Vincent Jean Bogousslavsky

We investigate the impact of an exogenous trading glitch at a high-frequency market-making firm on standard measures of stock liquidity (spreads, price impact, turnover, and depth) and institutional trading costs (implementation shortfall and VWAP slippage ...

2021

No money, no honey? Financial versus knowledge and demand constraints on innovation

Gabriele Pellegrino

The paper adds to the literature on the barriers to innovation in two ways. First, we assess comparatively what mostly constrains firms' ability to translate investment in innovation activity into new products and processes, whether it is mainly finance, a ...

Elsevier2017

Three Essays on Corporate Disclosure

Evgeny Petrov

Corporate disclosure is the most important source of information about the firm for the outside investors. While some disclosure of public firms is mandated by regulation, firm managers can provide extra information at their discretion by making voluntary ...

EPFL2017

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

Real estate issues : portfolio diversification, pricing and time-on-market

This thesis discusses the difficulties of pricing real estate by using the existing financial economic theory and investigates an alternative approach in order to take into account the 'unique' nature of real estate risk. It consists of three essays placin ...

EPFL2009