Blar i forfatter "Sirnes, Espen"

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    • Estimating the Effect of Transaction Costs Using the Tick Size as a Proxy 

      Sirnes, Espen (Journal article; Tidsskriftartikkel; Peer reviewed, 2022-04-08)
      A method is proposed for estimating the effect of transaction costs on volatility, using the tick size as a proxy. The method involves three steps: (1) collect only the cases in which the tick size changes from one regime to another; (2) estimate the effect with and without the order book size; and (3) use local data on the tick size and volatility but instruments from international markets. The ...

    • How to distribute information 

      Sirnes, Espen (Working paper; Arbeidsnotat, 2005-10)
      In this paper a difficult question is answered with a surprisingly simple answer. A monopolist who possesses nested information can earn money from selling it at different levels of precision to investors. The problem is to maximize profits by choosing the optimal distribution of information among the investors. I show that, the optimal distribution is to give all informed investors the same ...

    • Information in financial markets : how private information affects prices, how it can be revealed and how it may be used 

      Sirnes, Espen (Doctoral thesis; Doktorgradsavhandling, 2008-06-06)
      The literature on financial markets is vast and it is probably safe to say that all tools in the economists’ tool case have been applied to this field. In this dissertation I will present three papers that are very diverse in their approach to the subject of finance, but have an important common theme; asymmetric information and efficiency in financial markets.

    • Leveraging Return Prediction Approaches for Improved Value-at-Risk Estimation 

      Bagheri, Farid; Reforgiato Recupero, Diego; Sirnes, Espen (Journal article; Tidsskriftartikkel; Peer reviewed, 2023-08-17)
      Value at risk is a statistic used to anticipate the largest possible losses over a specific time frame and within some level of confidence, usually 95% or 99%. For risk management and regulators, it offers a solution for trustworthy quantitative risk management tools. VaR has become the most widely used and accepted indicator of downside risk. Today, commercial banks and financial institutions ...

    • Tick Size and Price Reversal after Order Imbalance 

      Sirnes, Espen; Dinh, Minh Thi Hong (Journal article; Tidsskriftartikkel; Peer reviewed, 2021-03-25)
      : It is well known that intraday returns tend to reverse the following intraday period, conditional on excess buying pressure on the bid or ask side. This suggests that liquidity providers “overreact” to order imbalance (OIB) by initially altering quotes so much that a negative autocorrelation is seen in mid-price returns. We investigate under which circumstances this behavior is most common. ...