Essays on financial market microstructure and market liquidity KU Leuven
This dissertation contains three essays on financial market microstructure which mainly focuses on an analysis of the impacts of trading infrastructure on asset price formation and its price deviation from fundamental values, market liquidity, and price discovery. The first chapter devotes to an empirical analysis of bid/ask spread compensations of imbalanced inventory on buy and sell order flows by using stoll (1978)’s multi-period and ...