Topics in financial econometrics

Ferriani, Fabrizio (2012) Topics in financial econometrics, [Dissertation thesis], Alma Mater Studiorum Università di Bologna. Dottorato di ricerca in Economia, 23 Ciclo. DOI 10.6092/unibo/amsdottorato/5034.
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In the first chapter, we consider the joint estimation of objective and risk-neutral parameters for SV option pricing models. We propose a strategy which exploits the information contained in large heterogeneous panels of options, and we apply it to S&P 500 index and index call options data. Our approach breaks the stochastic singularity between contemporaneous option prices by assuming that every observation is affected by measurement error. We evaluate the likelihood function by using a MC-IS strategy combined with a Particle Filter algorithm. The second chapter examines the impact of different categories of traders on market transactions. We estimate a model which takes into account traders’ identities at the transaction level, and we find that the stock prices follow the direction of institutional trading. These results are carried out with data from an anonymous market. To explain our estimates, we examine the informativeness of a wide set of market variables and we find that most of them are unambiguously significant to infer the identity of traders. The third chapter investigates the relationship between the categories of market traders and three definitions of financial durations. We consider trade, price and volume durations, and we adopt a Log-ACD model where we include information on traders at the transaction level. As to trade durations, we observe an increase of the trading frequency when informed traders and the liquidity provider intensify their presence in the market. For price and volume durations, we find the same effect to depend on the state of the market activity. The fourth chapter proposes a strategy to express order aggressiveness in quantitative terms. We consider a simultaneous equation model to examine price and volume aggressiveness at Euronext Paris, and we analyse the impact of a wide set of order book variables on the price-quantity decision.

Tipologia del documento
Tesi di dottorato
Ferriani, Fabrizio
Dottorato di ricerca
Scuola di dottorato
Scienze economiche e statistiche
Settore disciplinare
Settore concorsuale
Parole chiave
Financial econometrics, SV, market microstructure, trader identities, financial durations, informational asymmetries, order aggressiveness, Euronext Paris
Data di discussione
4 Luglio 2012

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