{"id":1771,"date":"2022-06-16T14:01:03","date_gmt":"2022-06-16T12:01:03","guid":{"rendered":"https:\/\/www.uni.lu\/fdef-fr\/events\/phd-defense-essays-in-market-microstructure-and-financial-markets-stability-vladimir-levin\/"},"modified":"2022-06-16T14:01:03","modified_gmt":"2022-06-16T12:01:03","slug":"phd-defense-essays-in-market-microstructure-and-financial-markets-stability-vladimir-levin","status":"publish","type":"events","link":"https:\/\/www.uni.lu\/fdef-fr\/events\/phd-defense-essays-in-market-microstructure-and-financial-markets-stability-vladimir-levin\/","title":{"rendered":"PhD Defense &#8211; Essays in Market Microstructure and Financial Markets Stability &#8211; Vladimir Levin"},"content":{"rendered":"<section class=\"wp-block-unilux-blocks-free-section section\"><div class=\"container xl:max-w-screen-xl\"><p>Supervisor:\u00a0Prof. Dr Roman KR\u00c4USSL<\/p><p>Title:\u00a0Essays in Market Microstructure and Financial Markets Stability<\/p><p>The defense will be organised in presential mode on Campus Kirchberg, room B22<\/p>Chapter 1:\u00a0Dark Trading and Financial Markets Stability<p>This paper examines how the implementation of a new dark order &#8211; Midpoint Extended Life Order (M-ELO) on Nasdaq &#8211; impactsfinancial markets stability in terms of occurrences of mini-flash crashes in individual securities.\u00a0We use high-frequency order book data and apply panel regression analysis to estimate the effect of dark order tradingactivity on market stability and liquidity provision.\u00a0The results suggest a predominance of a speed bump effect of M-ELO rather than a darkness effect.\u00a0We find that the introduction of M-ELO increases market stability by reducing the average number of mini-flash crashes,\u00a0but its impact on market quality is mixed.<\/p>Chapter 2:\u00a0Dark Pools and Price Discovery in Limit Order Markets<p>This paper examines how the introduction of a dark pool impacts price discovery, market quality, and aggregatewelfare of traders.\u00a0I use a four-period model where rational and risk-neutral agents choose the order type and the venue and obtain the\u00a0equilibrium numerically.\u00a0The comparative statics on the order submission probability suggests a U-shaped order migration to the dark pool.\u00a0The overall effect of dark trading on market quality and aggregate welfare was found to be positive but limited insize and depended on market conditions.\u00a0I find mixed results for the process of price discovery.Depending on the immediacy need of traders, price discovery may change due to the presence of the dark venue.<\/p>Chapter 3:\u00a0Machine Learning and Market Microstructure Predictability and it is another.<p>This paper illustrates the application of machine learning to market microstructure research.\u00a0I outline the most insightful microstructure measures, that possess the highest predictive power and are useful for the\u00a0out-of-sample predictions of such features of the market as liquidity volatility and general market stability.\u00a0By comparing the models&rsquo; performance during the normal time versus the crisis time, I come to the conclusion that financial\u00a0markets remain efficient during both periods.Additionally, I find that high-frequency traders activity is not able to forecast accurately neither of the market features.<\/p><\/div><\/section>","protected":false},"excerpt":{"rendered":"<p>Supervisor:\u00a0Prof. Dr Roman KR\u00c4USSLTitle:\u00a0Essays in Market Microstructure and Financial Markets StabilityThe defense will be organised in presential mode on Campus Kirchberg, room 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17:30:00","event_speaker_name":"","event_speaker_link":"","event_is_online":false,"event_location":"Campus Kirchberg, Room A02 \r\n6, rue Richard Coudenhove-Kalergi \r\nL-1359 Luxembourg","event_street":"","event_location_link":"","event_zip_code":"","event_city":"","event_country":"LU"},"events-topic":[301,298],"events-type":[],"organisation":[137,102,100],"authorship":[],"acf":[],"yoast_head":"<!-- This site is optimized with the Yoast SEO Premium plugin v22.3 (Yoast SEO v22.3) - https:\/\/yoast.com\/wordpress\/plugins\/seo\/ -->\n<title>PhD Defense - Essays in Market Microstructure and Financial Markets Stability - Vladimir Levin - FDEF I Uni.lu<\/title>\n<meta name=\"description\" content=\"Supervisor:\u00a0Prof. Dr Roman KR\u00c4USSLTitle:\u00a0Essays in Market Microstructure and Financial Markets StabilityThe defense will be organised in presential mode on Campus Kirchberg, room B22\" \/>\n<meta name=\"robots\" content=\"index, follow, max-snippet:-1, max-image-preview:large, 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