PhD Defence: Lars Christian Larsen

In order to obtain the PhD degree, Lars Christian Larsen has submitted his thesis entitled:

Price Dynamics and Liquidity in Financial Markets

This thesis studies the relationship between returns, volatility, and liquidity provision in high-frequency financial markets. The first paper explores the behaviour of Treasury futures and shows their prices to be more prone to price jumps compared to equity futures. The second paper documents that U.S. equity returns are large and positive during the opening hours of European markets. Consistent with models of inventory risk, it demonstrates a strong relationship with order imbalances at the close of the preceding U.S. trading day. The third paper investigates the market depth in exchange traded markets and argues that active dealer participation drives overall depth. The paper presents a model where dealers are subject to participation costs and a balance sheet constraint, which endogenize the number of dealers. The model predicts the dealer number to cause price reversals, and a negative dealer-volatility relationship driven by dealers' balance sheet capacity. 

The thesis will be available from research.cbs.dk

Primary Supervisor:

Professor David Lando
Department of Finance
Copenhagen Business School
 
Secondary Supervisors:

Associate Professor Paul Whelan
Department of Finance
Chinese University Hong Kong

Professor Peter Feldhütter
Department of Finance
Copenhagen Business School

Assessment Committee:

Professor Anders Bjerre Trolle (Chair)
Department of Finance
Copenhagen Business School

Professor Kim Christensen
Department of Economics and Business Economics
Aarhus University

Associate Professor Barbara Rindi
Department of Finance
Bocconi University

Date: 10 December 2024
Time: 15:30-17:30
Online: Teams
 
*Please note that the microphone and camera of all spectators must be turned off.

Location: Solbjerg Plads
Room: SPs07 Coloplast
Reception: FUHU (3rd floor above the canteen)

*The CBS PhD School will host a reception, which will take place immediately after the defence.