In her dissertation ‘Price Discovery, Liquidity Provision, and Low-Latency Trading’, ERIM’s Darya Yuferova discusses three empirical papers in the field of market microstructure. These papers investigate the impact of increased interconnectedness of the financial markets and the vast trading speed improvements on two important functions of financial markets: price discovery and liquidity provision.
The Erasmus Financial Markets Centre (EFMC) aims to develop and share research insights into the functioning of international financial markets. We study the trading and price formation process, market microstructure and liquidity, the behaviour and regulation of market participants, and the role of financial markets in the economy and in economic development across a wide variety of markets (equity, credit, derivative) in many countries around the world. Our goal is to push the boundaries of academic research on financial markets and to provide valuable input for decision-making by financial institutions, regulators, and policy makers.
In his dissertation ‘Market Efficiency and Liquidity’ ERIM’s Dominik Rösch investigates the interaction between market efficiency and liquidity. In particular to document time- and cross-sectional variation in market efficiency, and whether individual stock efficiency co-moves with aggregate market efficiency; to investigate why inefficiencies arise and how trading against these inefficiencies affects market liquidity