Market mikro yapısının faktörlerinin analizi: Fiyat etkisi, likidite ve oynaklık

First chapter of this thesis is an attempt to model the price impact. It is assumed that the market is not perfectly efficient so that it takes to time to adjust new equilibrium price. Thus, in order to model the price impact, two new concepts are introduced which are market resiliency and speed of price informativeness. It is showed that market resiliency and price impact tend to raise as speed of price information increases which emphasizes the fact that speed of information matters in financial markets and market resiliency is not a phenomenon that can be neglected. In the second chapter, it is tried to stress the importance of the liquidity which is considered as the neglected dimension of the financial risk. To do that, a new approach called Liquidity Augmented Stochastic Volatility with Jump (LASVJ) model is introduced and it is compared with the Stochastic Volatility with Jump (SVJ) model in terms of stability and performance. This analysis includes both simulation and calibration analysis. The simulation results suggest that LASVJ model outperforms SVJ as it has lower bias and Root Mean Square Error. In the calibration part, ten companies listed in Dow-Jones 30 are used and it is found that the estimated probability of default and credit spread with LASVJ model are higher than those with SVJ model. In the third chapter, it is aimed to improve the volatility prediction which included in the financial risk management. As a well-performing volatility prediction sheds light on the uncertainty in the financial market, it is an important task to model it. To this end, GARCH-type models as well as SVR-GARCH. To this end, GARCH-type models as well as SVR-GARCH model are used to model the volatility and the results are compared based on the performance metrics. In part of empirical analysis, finding indicates that SVR-GARCH outperforms the traditional models in predicting volatility and also produce more reliable result in Value-at-Risk estimation.