Doctoral thesis: Interest rate sensitivity, effects of macroeconomic announcements and optimal trading strategy topics for finance thesis

"Financial asset prices are not always in perfect equilibrium and deviate from their fundamental values", states Frédéric Délèze in his doctoral thesis "Essays in Quantitative Analysis of the Effects of Market Imperfections on Asset Returns".

Frédéric Délèze's thesis, consisting of five essays, analyses the effect of market imperfections at different time horizons. Starting at a macroeconomic level with a change of currency, the first essay analyses the impact of the introduction of Euro on interest rate sensitivity of European firms. Délèze found that the connection between bond issuance and reductions in interest rate sensitivity is most significant among financially constrained firms, which suggests that financially constrained firms are the main beneficiaries of the relaxed public borrowing constraint in Europe after the introduction of euro.

In his second essay, Délèze's attempts to explain the effect of US macroeconomic announcements on European equity, interest rate and foreign exchange markets at a high-frequency level since macroeconomic news announcements cause sudden price discontinuities, or jumps and co-jumps, on financial markets. While European equity markets are more sensitive to US fundamentals, US macroeconomic announcements cause significant jumps and co-jumps on all European asset classes. Based on his research, Délèze concludes that European markets are highly co-integrated as observed a strong correlation between the type of news and the direction of the jumps.

In his third essay Délèze describes and analyses a new pairs trading strategy, whereas his last two essays, Délèze focus on analysing an optimal trading strategy and modelling a continuous-time random walk. These show that waiting-time distribution has a significant impact on both price dynamics and profit prediction.

M.Sc. Frédéric Délèze defends his doctoral thesis in Finance: "Essays in Quantitative Analysis of the Effects of Market Imperfections on Asset Returns" on 22 August 2014.

Time: 22 August 2014, at 12
Place: Hanken School of Economics, Helsinki
Opponent: Professor Juho Kanniainen, Tampere University of Technology, Finland
Custos: Professor Anders Löflund, Hanken School of Economics, Helsinki

For more information, please contact:
Frédéric Délèze
frederik.deleze@hanken.fi Opens in new window

A copy of the thesis can be downloaded here Opens in new window .