In this thesis, I explore various aspects of market liquidity and analyze its effect on asset prices. First, in a model of a limit order market I explain how to define liquidity and derive a price impact function. Second, I show how agents who have price impact generate a liquidity component in...

Essay 1: Shopping Goals, Goal Concreteness, and Conditional Promotions. We propose a two-stage model to describe the increasing concreteness of consumers' goals during the shopping process, testing the model through a series of field experiments at a convenience store. Using a number of...

Individuals are involved in daily decision making situations under varying levels of certainty and ease of gathering information, characterized by many factors such as the need to make payments, or the desire to fulfill goals. Essay 1 proposes that when individuals are faced with environments...

At the time of this writing, the NYSE had just completed its historic merger with Archipelago, LLC, while changing its ownership structure to a public company. The conditions leading up to this transformation are descriptive of the overall changes in "exchange structures" and the infrastructure...

Along with the increasing computing power, growing availability of various data streams, introduction of the electronic exchanges, decreasing trading costs and heating-up competition in financial investment industry, quantitative trading strategies or quantitative trading rules have been...

In Chapter 1, I investigate trading volume before scheduled and unscheduled corporate announcements to explore how traders respond to private information. I show that cumulative trading volume decreases by more than 15% prior to scheduled announcements. The decline in trading volume is largest...

Essay 1: Translation Errors in the Aggregation of Consumer Recommendations There has been a substantial increase of websites providing consumers with recommendations about products and services. These recommendations are usually presented in the form of verbal reviews and numerical ratings. It...

Ticks, the second-to-second trades and quotes of a market, might be considered the atoms of finance. They represent the basic, defining transactions that represent an asset in the market. Almost all financial concepts, such as returns or risk, are essentially abstractions from tick data. Like...

This thesis consists of three essays on asset pricing. Chapter 1 presents an equilibrium model to study the convergence trading of large hedge funds in segmented markets. The model provides an alternative explanation for the anomaly of a price gap between two fundamentally identical securities....