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Microstructure Invariance in the Russian Financial Data

Student: Zhiltsova Anastasia

Supervisor: Sylvain Carré

Faculty: International College of Economics and Finance

Educational Programme: Financial Economics (Master)

Final Grade: 9

Year of Graduation: 2020

This research uses the methodology proposed by Kyle and Obizhaeva (2016) to investigate whether the microstructure invariance hypothesis holds in the Russian stock market. Empirical tests yielded 0.65 - 0.73 statistically significant coefficients against the predicted 0.67 with the R-squared of 0.69, hence, the observed scaling laws are close to those derived in the empirical implications of microstructure invariance hypothesis by Kyle and Obizhaeva (2016). Adding the variable accounting for the change in tick size increased the share of explained variance to 0.82. This is attributed to the fact that liquid and less liquid stocks responded differently to the tick size changes in terms of order shredding.

Full text (added May 28, 2020)

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