Since 1996 a lot of econometric models have been developed to analyse transaction times, price changes and volume movements on financial places like the NYSE, NASDAQ and EURONEXT. These models give a better understanding of the undelying trading mechanisms of financial products. They also lead to important new applications in the microstructure theory of financial markets by allowing a better modeling of volatility, transaction costs and market liquidity. A lot of research work has still to be done given the very recent delopment of these models. This project is particularly focused on volatility and liquidity modeling issues.
|Effective start/end date||1/09/01 → 31/12/09|
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