Cristina Scherrer

PhD Student

Room number: W317
Tel: +44 20 7882 8844
Fax: +44 20 8983 3580
Email: c.scherrer@qmul.ac.uk

Research keywords: Market Microstructure, Price Discovery, Mispricing, Integrated Volatility
Research supervisors: Marcelo Fernandes, Giovanni Cespa

Title: Essays on Empirical Market Microstructure

My research is based in two sub-areas: price discovery and mispricing estimation. Price discovery measures the importance of each market in the price formation of a cross listed asset. Assuming that a same asset traded in different venues (or a derivative asset, such as option and stock, or spot and futures) and given an unobservable efficient price, common to all markets, how new information is incorporated to each of these markets is the Price Discovery object of study. Thus, the research focus is on which market incorporates news first, and how it impacts in the others. Our interest here is to understand how the stock’s risk changes once it starts to be cross listed, as well as return and prices in both venues. Still in this subject, we are also interested in measuring impacts on prices in different venues once dividends are paid.
In mispricing estimation, our focus will be on different methodologies to estimate integrated volatility in the presence of market microstructure noise. It follows from the fact that literature has already shown that, in the presence of market microstructure noise, the standard realized volatility is biased.
Our empirical results will be based on a dataset from the Brazilian Stock Exchange (BOVESPA).