Projects

Informed Trading in Taxed Markets

This project aims at empirically testing the presence of informed trading in financial markets that exhibit a financial transaction tax. Using different proxies for informed trading we test the hypothesis that taxed markets exhibit lower proportions of informed trading on the examples of FTT's in Europe.

Liquidity in Limit Order Books: Evidence from the Nasdaq LOB

This project aims at investigating the evolution of liquidity in LOB's. Following Sandås (2001) we estimate a version of the model presented in Glosten (1994) using flow data from Nasdaq's LOB.