{"id":110182,"date":"2018-03-11T10:36:04","date_gmt":"2018-03-11T10:36:04","guid":{"rendered":"https:\/\/www.deberes.net\/tesis\/sin-categoria\/essays-in-market-microstructure-inter-market-competition-algorithmic-trading-and-call-auctions\/"},"modified":"2018-03-11T10:36:04","modified_gmt":"2018-03-11T10:36:04","slug":"essays-in-market-microstructure-inter-market-competition-algorithmic-trading-and-call-auctions","status":"publish","type":"post","link":"https:\/\/www.deberes.net\/tesis\/sector-de-finanzas-y-seguros\/essays-in-market-microstructure-inter-market-competition-algorithmic-trading-and-call-auctions\/","title":{"rendered":"Essays in market microstructure &#8211; inter-market competition, algorithmic trading, and call auctions"},"content":{"rendered":"<h2>Tesis doctoral de <strong> Peter Hoffmann <\/strong><\/h2>\n<p>Esta tesis estudia tres temas diferentes de la microestructura de los mercados financieros. El cap\u00edtulo 1 demuestra que fricciones en el acceso al mercado pueden desempe\u00f1ar un papel significativo en la competencia entre plataformas de negociaci\u00f3n de activos. El an\u00e1lisis de un conjunto de datos recientes de la actividad en acciones francesas y alemanas demuestra que los mercados primarios dominan debido a que el \u00fanico mercado sat\u00e9lite expone los proveedores de liquidez a un riesgo excesivo de selecci\u00f3n adversa, causado por una falta de noise traders. El cap\u00edtulo 2 presenta un modelo te\u00f3rico de formaci\u00f3n de precios en un mercado din\u00e1mico con limit order book poblado por agentes humanos lentos y agentes algor\u00edtmicos r\u00e1pidos. Se demuestra que, en la mayor\u00eda de los casos, la negociaci\u00f3n algor\u00edtmica tiene un efecto negativo sobre el bienestar de agentes humanos. Por \u00faltimo, el cap\u00edtulo 3 analiza emp\u00edricamente el papel de la transparencia pre-negociaci\u00f3n en las subastas de apertura y de cierre. Comparando los mecanismos en las bolsas francesas y alemanas, encontramos que la transparencia est\u00e1 asociada con un volumen mayor, una liquidez mayor y un mejor price discovery.<\/p>\n<p>&nbsp;<\/p>\n<h3>Datos acad\u00e9micos de la tesis doctoral \u00ab<strong>Essays in market microstructure &#8211; inter-market competition, algorithmic trading, and call auctions<\/strong>\u00ab<\/h3>\n<ul>\n<li><strong>T\u00edtulo de la tesis:<\/strong>\u00a0 Essays in market microstructure &#8211; inter-market competition, algorithmic trading, and call auctions <\/li>\n<li><strong>Autor:<\/strong>\u00a0 Peter Hoffmann <\/li>\n<li><strong>Universidad:<\/strong>\u00a0 Pompeu fabra<\/li>\n<li><strong>Fecha de lectura de la tesis:<\/strong>\u00a0 13\/07\/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>Francisco Pe\u00f1aranda Tomas<\/li>\n<\/ul>\n<\/li>\n<li><strong>Tribunal<\/strong>\n<ul>\n<li>Presidente del tribunal: alvaro Cartea <\/li>\n<li>roberto Pascual gasco (vocal)<\/li>\n<li>  (vocal)<\/li>\n<li>  (vocal)<\/li>\n<\/ul>\n<\/li>\n<\/ul>\n<p>&nbsp;<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Tesis doctoral de Peter Hoffmann Esta tesis estudia tres temas diferentes de la microestructura de los mercados financieros. El cap\u00edtulo [&hellip;]<\/p>\n","protected":false},"author":1,"featured_media":0,"comment_status":"open","ping_status":"open","sticky":false,"template":"","format":"standard","meta":{"site-sidebar-layout":"default","site-content-layout":"","ast-site-content-layout":"","site-content-style":"default","site-sidebar-style":"default","ast-global-header-display":"","ast-banner-title-visibility":"","ast-main-header-display":"","ast-hfb-above-header-display":"","ast-hfb-below-header-display":"","ast-hfb-mobile-header-display":"","site-post-title":"","ast-breadcrumbs-content":"","ast-featured-img":"","footer-sml-layout":"","theme-transparent-header-meta":"","adv-header-id-meta":"","stick-header-meta":"","header-above-stick-meta":"","header-main-stick-meta":"","header-below-stick-meta":"","astra-migrate-meta-layouts":"default","ast-page-background-enabled":"default","ast-page-background-meta":{"desktop":{"background-color":"var(--ast-global-color-4)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"ast-content-background-meta":{"desktop":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"tablet":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""},"mobile":{"background-color":"var(--ast-global-color-5)","background-image":"","background-repeat":"repeat","background-position":"center center","background-size":"auto","background-attachment":"scroll","background-type":"","background-media":"","overlay-type":"","overlay-color":"","overlay-gradient":""}},"footnotes":""},"categories":[13009,18712,4677],"tags":[220079,72213,220078,185655],"class_list":["post-110182","post","type-post","status-publish","format-standard","hentry","category-estructura-de-mercado","category-pompeu-fabra","category-sector-de-finanzas-y-seguros","tag-alvaro-cartea","tag-francisco-penaranda-tomas","tag-peter-hoffmann","tag-roberto-pascual-gasco"],"_links":{"self":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/110182","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts"}],"about":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/types\/post"}],"author":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/comments?post=110182"}],"version-history":[{"count":0,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/posts\/110182\/revisions"}],"wp:attachment":[{"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/media?parent=110182"}],"wp:term":[{"taxonomy":"category","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/categories?post=110182"},{"taxonomy":"post_tag","embeddable":true,"href":"https:\/\/www.deberes.net\/tesis\/wp-json\/wp\/v2\/tags?post=110182"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}