PhD Students
Some Current Finance PhD Students
| Research Student | Thesis Topic | Thesis Description |
|---|---|---|
Tina Prodromou (Viljoen) |
The effect of liquidity and comparative spreads with the introduction of algorithmic trading |
Since the introduction of algorithmic trading in the Australian market, liquidity has improved. Is there any correlation between algorithmic trading and liquidity? Empirical evidence illustrates that the association between idiosyncratic liquidity and algorithmic trading activity are negatively correlated. Algorithmic trading leads to greater competition in liquidity provision, thereby improving liquidity. Sorting out causality requires an exogenous instrument. These exogenous instruments are the introduction of anonymity and the new pricing structure. Decomposing the spread in non-informational and informational components of trading cost reveals increased algorithmic trading lowers the informational component and decreases the amount of price discovery. Dr Joakim Westerholm and Dr Hui Zheng is supervising this project. |