Cui Wei

Abstract

The thesis was motivated by the recent emergence of algorithmic trading and focuses on understanding price impact. It addresses three questions concerning price impact in order to gain a better understanding on the intraday behaviour of price impact, and the factors affecting price impact. The results in this thesis suggests that time-of-the-day, agent intelligence and order choice are important factors affecting price impact, and need to be considered in the theoretical microstructure models and in the design of trading strategies.