Market Microstructure of Financial Markets

The research program "The Market Microstructure of Financial Markets" consists of four empirical projects. The project "Order flows in markets for Norwegian kroner, oil and stocks: How are they interrelated?" analyses how order flows in currency, oil and common stocks are interrelated, and how they affect the foreign exchange rate (NOK/EUR). "Are FX dealers differently informed?" explores information asymmetries among dealers working in different FX banks. The project "Discriminatory vs. Uniform price auc tions: Evidence from Norwegian Treasury bill auctions" examines differences between discriminatory and uniform Treasury price auctions, and the interplay between the primary and secondary market. "The dynamics of order flow composition and trading costs i n limit order markets: Evidence from Oslo Stock Exchange" explores dealers choice between submitting limit or market orders. In order to carry out the above analysis, we will use unique data for the different markets.