PhD Defence: Darya Yuferova
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.
Darya Yuferova defended her dissertation in the Senate Hall at Erasmus University Rotterdam on Thursday, 30 June 2016 at 9:30. Her supervisor was Prof.dr. M.A van Dijk and her co-supervisor was Dr. D.J.G. Bongaerts. Other members of the Doctoral Committee were Prof.dr. A.J. Menveld (VU), Prof.dr. D.J.C. van Dijk (ESE), Prof.dr. M.J.C.M van Beek (RSM).
About Darya Yuferova
Darya Yuferova was born on February 28, 1990 in Novosibirsk, Russia. She obtained her Bachelor degree in Economics from Novosibirsk State University, majoring in Mathematical Methods in Economics. During 2010--2011, Darya did her Master studies in Finance at Duisenberg School of Finance / Free University Amsterdam, majoring in Risk Management. During her master studies, Darya did a “Super Quant” internship in Robeco Asset Management.
In 2011, Darya has started her work on the PhD project “Financial market liquidity: a broad perspective” at Rotterdam School of Management, Erasmus University under supervision of Mathijs van Dijk and Dion Bongaerts. Her main area of research interest is interplay of asset pricing and market microstructure.
During her PhD studies, Darya went on a research visit to NYU Stern School of Business (host: Marti Subrahmanyam). Darya has taken various courses from leading scholars in the field of finance, such as Ekkehart Boehmer, Robert Engle, Thierry Foucault, Harrison Hong, Anthony Lynch, Albert Menkveld, Stijn van Nieuwerburgh, Marco Pagano, Dimitri Vayanos, and Wei Xiong. Her work was presented at several international conferences, such as the Financial Risks International Forum on Scenarios, Stress, and Forecasts in Finance; the Emerging Markets Finance Conference; the Annual Meeting of the German Finance Association; the International Conference on the Industrial Organisation of Securities and Derivatives Markets: High Frequency Trading.
As of August 15, 2016, Darya will be working as an Assistant Professor of Finance in Norwegian School of Economics (NHH), Bergen, Norway.
Thesis Abstract
This dissertation consists of 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. Chapter 2 examines the role of liquidity and trading activity in the origination and propagation of shocks to prices across international equity markets. The findings show that equity markets are strongly interconnected with respect to the transmission of shocks to prices and trading activity, while liquidity dry-ups seem to be isolated events. Chapter 3 analyzes the choice that an informed trader makes between market (consuming liquidity) and limit (supplying liquidity) orders and how this choice is affected by the rise of algorithmic trading. My findings suggest that price informativeness does not necessarily come at the expense of low liquidity, even in the presence of algorithmic traders. Chapter 4 examines whether low-latency traders are improving or deteriorating price discovery in the pre-opening period. The findings show that low-latency traders actively participate in the pre-opening period despite the absence of immediate execution, although to a lesser extent than during the continuous trading session. Furthermore, low-latency traders lead price discovery during the pre-opening period. Overall, my current and future research agenda is related to the design of the well-functioning financial market with specific focus on the regulation of the low-latency traders.
· View and download Darya's dissertation
Photos: Chris Gorzeman / Capital Images
