Dissertations, Theses, and Capstone Projects

Date of Degree

6-2024

Document Type

Dissertation

Degree Name

Ph.D.

Program

Economics

Advisor

Christos Giannikos

Committee Members

Yochanan Shachmurove

Barry Ma

Subject Categories

Economics | Finance

Keywords

Market Microstructure, High Frequency Trading, Liquidity, Volatility

Abstract

CHAPTER 1: HIGH FREQUENCY TRADING AND MARKET LIQUIDITY

This paper provides evidence of the impact of High Frequency Trading (HFT) on liquidity. I use data from the NASDAQ OMX that identifies the trades of 26 HFT firms on 120 randomly selected stocks listed on the NASDAQ. I find that HFT improves overall market liquidity. However, the liquidity improvements come at the expense of the non high frequency traders. Results indicate that trades in which the HFT supply liquidity to non HFTs have a significantly wider spreads. This impact is larger for smaller cap stocks. Additionally, price impacts are largest when HFT demand liquidity to non HFTs. whereas realized spreads are largest when HFT supply liquidity to non HFTs. These findings indicate that HFT improve market liquidity, but impose higher costs to non high frequency traders. These results were amplified during the crisis week of September 15th-19th of 2008.

CHAPTER 2: HIGH FREQUENCY TRADING AND PRICE DISCOVERY DURING THE 2008 CRISIS WEEK

In this paper I study the impact of high-frequency traders in the price discovery process during the crisis week of September 15th-19th of 2008. Using a state space model, I decompose equity prices into a permanent and transitory components. I then use the decomposed series to study the impact of high frequency traders on these price series. Findings show that during this time of crisis, high frequency traders improved price discovery by trading in the direction of permanent price changes, and in opposite direction to the temporary pricing errors.

CHAPTER 3: EXCHANGE SPEED & HIGH FREQUENCY TRADING

This paper studies the impact of an exchange speed upgrade on the performance of high-frequency traders. On September 9th 2009, the NASDAQ-OMX implemented a significant upgrade to the trading platform technology named INET. This state of the art technology made the NASDAQ the fastest exchange in the world. With this improvement, the NASDAQ trading venue was able to handle over one million trading messages per second at sub 250 microsecond average speeds. Subsequent to this exchange speed upgrade, HFT experienced improvements in trading performance, and increase trading profits from $927.30 to $3,031.03. Additionally, overall market liquidity significantly increased. However, most of the liquidity improvements were at the expense of adverse selection on non-HFT. We also observe an overall significant improvement in price discovery.

CHAPTER 4: SCHOOL FUNDING, RESOURCES AND EDUCATIONAL OUTCOMES IN THE DOMINICAN REPUBLIC

This paper studies the impact of an increase in educational expenditures on student achievements in the Dominican Republic. We use individual level data provided by the Ministry of Education of the Dominican Republic (Ministerio de Educacion del la Republica Dominicana) that identifies student test scores on a nationwide end of high school exam (Pruebas Nacionales). Via a Logit regression model, we estimate the probability of a high school student passing the national exams. Our results indicate significant evidence that the investments in education positively impacted exam pass rates. The impact is significant and larger for suburban areas, and female high school students. The results also indicate that the subject with highest score improvement is spanish and the one with lowest improvement is Mathematics.

Download

This work is embargoed and will be available for download on Monday, June 01, 2026

Included in

Finance Commons

Share

COinS