Essays on Intraday Trading Behavior and Price Patterns in Financial Markets

Financial markets bring together a wide range of participants to fund investments and share risks, while also facilitating liquidity – the ability to enter and exit positions when needed – and price discovery – the timely formation of efficient prices that reflect available information. Most modern markets achieve this through electronic limit order books, where participants express their interest in buying or selling a security by submitting orders that specify a price and quantity.  

Records of order book activity generate high-frequency datasets encompassing billions of trades, bids, and offers. These records provide a microstructural view of financial markets and are at the heart of this dissertation. The dissertation comprises four essays that collectively enhance our understanding of market participants’ intraday trading behavior, intraday price patterns, market characteristics, and the interplay among these topics.