{"id":109675,"date":"2018-03-11T10:35:16","date_gmt":"2018-03-11T10:35:16","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/high-frequency-dynamics-of-the-microscopical-structure-in-financial-markets\/"},"modified":"2018-03-11T10:35:16","modified_gmt":"2018-03-11T10:35:16","slug":"high-frequency-dynamics-of-the-microscopical-structure-in-financial-markets","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/mecanica-estadistica\/high-frequency-dynamics-of-the-microscopical-structure-in-financial-markets\/","title":{"rendered":"High-frequency dynamics of the microscopical structure in financial markets"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Francisco Javier Vicente Gonzalez <\/strong><\/h2>\n<p>In the first part of this thesis, i address the classical problem of asset price  dynamics based on a new theoretical framework developed for nonequilibrium  physical systems. This problem is mainly relevant for two reasons. First, because  understanding the true distribution of returns is important for asset allocation,  risk management, and option pricing. Second, because in spite of all the effort  in determining the origin of non-gaussian returns no conclusive result has been  achieved yet. The most important result of this part is the demostration that  the non-gaussian shape and stable scaling of the returns distribution are due to  slow, but significant, fluctuations in volatility. Futhermore, this result suggests  that stock price fluctuations are universal, and that return distributions can be  described by one functional form.  in the second part, i present an empirical study about the execution of large  orders in two stock exchanges: the london stock exchange, and the spanish  stock exchange. This type of orders can cause a tremendous impact because  they are larger than the available liquidity in the order book at a time. For this  reason, they are split to minimize transaction costs. Market price impact is the  basic factor of these costs, so an accurate description of its functional form is  necessary to any optimal execution. The most important result in this part is the  empirical determination of this functional form in two markets and the finding  of a common behavior in both markets that can be summarized into a concave  temporary impact, roughly described by a square root function of the hidden  order size, and a price reversion after the completion of the hidden order making  permanent impact equal to roughly half of the temporary impact.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>High-frequency dynamics of the microscopical structure in financial markets<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 High-frequency dynamics of the microscopical structure in financial markets <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Francisco Javier Vicente Gonzalez <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Carlos III de Madrid<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 30\/06\/2011<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n<h3>Direcci\u00f3n y tribunal<\/h3>\n<ul>\n<li><strong>Director de la tesis<\/strong>\n<ul>\n<li>Doyne Farmer<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: angel Sanchez sanchez <\/li>\n<li>josep Perell\u00f3 palou (vocal)<\/li>\n<li>Jes\u00fas guillermo Llorente alvarez (vocal)<\/li>\n<li>Miguel angel Martinez sedano (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Francisco Javier Vicente Gonzalez In the first part of this thesis, i address the classical problem of 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