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Financial Market Microstructure

Roland Mestel
Viktoria Steffen Erik Theissen Corinna Uhlenkamp
Roland Mestel

Viktoria Steffen

Erik Theissen

Corinna Uhlenkamp

Overview

Funding source: Anniversary Fund of the Austrian National Bank (OeNB), project number 17789
Funding amount: € 105,000
Duration: 03/2019-02/2022
Project team:
   Roland Mestel (principal investigator)
   Viktoria Steffen (PhD student, project member)
   Erik Theissen (project member)
   Corinna Uhlenkamp (PhD student, project member)

Agenda

This project studies the way securities are actually traded on financial markets with a special focus on market liquidity and efficiency. The main research areas include: (i) An in-depth analysis of the liquidity of the Austrian stock market, based on “Finance Research Graz Data Services” (FiRe Graz DS),(ii) Algorithmic and high-frequency trading, (iii) Market reactions to news.