Essays on Trading and Manipulation in Financial Markets

The thesis presents four studies in the field of financial microstructure, specifically trading and manipulation in financial markets. The first two studies aim to investigate the effect of spoofing manipulation on intraday market quality and forecast the market state with high spoofing manipulation risk. The latest two studies focus on informed trading and information incorporation into asset prices. The first paper studies the intraday relationship between spoofing manipulation activity and market quality in the automated equity market on the Moscow Exchange (MOEX).We find that higher spoofing activity is associated with lower intraday market quality (greater quoted and effective spreads and greater volatility). This effect is economically significant and robust to different specifications, endogeneity, and alternative spoofing measures. Our results hold after controlling for volatility, day trading volume, and intensive trading periods during the day. The second study introduces a data-driven approach to forecast the market state with high spoofing risk. The approach reduces model selection’s importance through forecasts combining different machine learning predictors. We apply the algorithm to a unique dataset of suspicious spoofing cases detected on MOEX. We show that learning from the limit order book using machine learning techniques generates an effective manipulation prediction measure. Our study introduces an indicator of real-time risk to trade in a manipulative environment that exchanges and regulators could utilise for their surveillance systems. Our approach achieves significant forecasting accuracy in a high-frequency environment. The third study is an empirical investigation of informed trading in the futures market. Using the comprehensive data with the customer type indication from MOEX, we examine trading by different customer groups and find that retail traders forecast intraday returns in a high-frequency time dimension. Institutional traders effectively predict short-term returns while losing their forecasting power after four trading days. We find that different customer groups systematically trade in opposite directions, and their order flows are highly informative about intraday returns. Finally, the fourth study examines price discovery dynamics between Bitcoin exchange-traded products (ETPs) and spot markets on centralised cryptocurrency exchanges. We apply four popular price discovery measures to ETP and spot transaction data. Our results show that price discovery is dominated by the spot market across all measures and sampling frequencies. This implies that ETP markets play a smaller role in incorporating new information about Bitcoin prices and that informed investors largely prefer to trade on spot markets. Four essays form coherent research motivated by the increasing speed of development of the electronic markets, the rise of high-frequency trading with the introduction of new possibilities for market destabilisation, and natural demand from investors for a higher-quality trading environment and diversification strategies in new asset classes and markets

Structure and magnetic properties of Bi5Ti3FeO15 ceramics prepared by sintering, mechanical activation and EDAMM process. A comparative study

Three different methods were used to obtain Bi5Ti3FeO15 ceramics, i.e. solid-state sintering, mechanical activation (MA) with subsequent thermal treatment, and electrical discharge assisted mechanical milling (EDAMM). The structure and magnetic properties of produced Bi5Ti3FeO15 samples were characterized using X-ray diffraction and Mössbauer spectroscopy. The purest Bi5Ti3FeO15 ceramics was obtained by standard solid-state sintering method. Mechanical milling methods are attractive because the Bi5Ti3FeO15 compound may be formed at lower temperature or without subsequent thermal treatment. In the case of EDAMM process also the time of processing is significantly shorter in comparison with solid-state sintering method. As revealed by Mössbauer spectroscopy, at room temperature the Bi5Ti3FeO15 ceramics produced by various methods is in paramagnetic state

Non-Standard Errors

In statistics, samples are drawn from a population in a data-generating process (DGP). Standard errors measure the uncertainty in estimates of population parameters. In science, evidence is generated to test hypotheses in an evidencegenerating process (EGP). We claim that EGP variation across researchers adds uncertainty: Non-standard errors (NSEs). We study NSEs by letting 164 teams test the same hypotheses on the same data. NSEs turn out to be sizable, but smaller for better reproducible or higher rated research. Adding peer-review stages reduces NSEs. We further find that this type of uncertainty is underestimated by participants

Pressure Collapse of the Magnetic Ordering in MnSi via Thermal Expansion

The itinerant quasi-ferromagnetic metal MnSi has been studied by detailed thermal expansion measurements under pressures and magnetic fields. A sudden decrease of the volume at the critical pressure Pc ~1.6 GPa has been observed and is in good agreement with the pressure variation of the volume fraction of the spiral magnetic ordering. This confirms that the magnetic order disappears by a first order phase transition. The energy change estimated by the volume discontinuity on crossing Pc is of similar order as the Zeeman energy of the transition from the spiral ground state to a polarized paramagnetic one under magnetic field. In contrast to the strong pressure dependence of the transition temperature, the characteristic fields are weakly pressure dependent, indicating that the strength of the ferromagnetic and the Dzyaloshinskii-Moriya interactions do not change drastically around Pc. The evaluated results of the thermal expansion coefficient and the magnetostriction are analyzed thermodynamically. The Sommerfeld coefficient of the linear temperature term of the specific heat is enhanced just below Pc. The magnetic field-temperature phase diagrams in the ordered and paramagnetic phases are also compared. Comparison is made with other heavy fermion compounds with first order phase transition at 0 K.Comment: 9 pages, 13 figures, accepted to be published in JPS