• A
  • A
  • A
  • ABC
  • ABC
  • ABC
  • А
  • А
  • А
  • А
  • А
Regular version of the site
For visually-impairedUser profile (HSE staff only)SearchMenu

Analysis of Liquidity of the Asset Market Based on High-Frequency Trade Data

Student: Nikita Postnov

Supervisor: Sergey V. Kurochkin

Faculty: Faculty of Economic Sciences

Educational Programme: Economics (Bachelor)

Year of Graduation: 2018

This paper examines the issue of asset liquidity modeling based on the mathematical approach. Three models are built and estimated. The first one describes observable asset price as the sum of its unobservable fundamental (or effective) part and the market microstructure noise which includes the information about market quality. According to the theoretical concept, the structure of market quality includes asset liquidity. That is why the first model is used for the market microstructure noise estimation. The second model (Autoregressive Distributed Lag) describes the relationship between financial liquidity characteristics and the market quality. The third one (nonlinear semi-parametric index model) is used for the construction of a single combined liquidity index based on these financial measures.

Student Theses at HSE must be completed in accordance with the University Rules and regulations specified by each educational programme.

Summaries of all theses must be published and made freely available on the HSE website.

The full text of a thesis can be published in open access on the HSE website only if the authoring student (copyright holder) agrees, or, if the thesis was written by a team of students, if all the co-authors (copyright holders) agree. After a thesis is published on the HSE website, it obtains the status of an online publication.

Student theses are objects of copyright and their use is subject to limitations in accordance with the Russian Federation’s law on intellectual property.

In the event that a thesis is quoted or otherwise used, reference to the author’s name and the source of quotation is required.

Search all student theses