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Essays on computational and empirical methods in financial economics

Thesis type
(Thesis) Ph.D.
Date created
2022-04-22
Authors/Contributors
Author: Donmez, Anil
Abstract
This thesis is composed of three essays on the applications of computational and empirical methods in financial economics. Chapter 1, Transaction Fee Economics in the Ethereum Blockchain, is co-authored with Alexander Karaivanov. It examines the economic determinants of transaction fees in the Ethereum blockchain. We estimate an empirical model based on queueing theory and analyze the factors determining the "gas price" (transaction cost per unit of service, "gas"). Using block‐ and transaction‐level data from the Ethereum blockchain, we show that changes in service demand significantly affect the gas price—when there is high block utilization, per‐unit fees increase on average, with a strong nonlinear effect above 90\% utilization. The transaction type is another important factor—a larger fraction of regular transactions (direct transfers between users) is associated with higher gas price. Chapter 2, Individual Evolutionary Learning and Zero-Intelligence in the Continuous Double Auction, jointly with Jasmina Arifovic and John Ledyard, studies behavior in a Continuous Double Auction, the most preferred exchange mechanism of financial markets around the world. Particularly, we report on two models, Zero-Intelligence and Individual Evolutionary Learning, which we tested against each other with a key emphasis on price formation and trade efficiency using two very different data sets: a large, uncontrolled set from classroom experiments using the MobLab interface and a small, controlled set from experiments at Simon Fraser University. Chapter 3, Racial Differences in Senior Executives' Access to Information, is co-authored with Deniz Anginer, Nejat Seyhun, and Ray Zhang. Based on a hand-collected sample of race data for executives of S\&P 1500 firms, this paper provides evidence of differences due to race in insider-trading behavior and in the profitability of senior corporate executives. We document that, although non-African-American executives make positive abnormal profits from insider trading, African-American executives, on average, earn zero abnormal profits. In contrast, the abnormal profits of Asian-American executives are similar to or even exceed those of Caucasian executives. However, these race differences are less profound in firms that emphasize diversity and employee equity. These results suggest that African-American executives are disadvantaged relative to other executives in access to insider information.
Document
Identifier
etd21898
Copyright statement
Copyright is held by the author(s).
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This thesis may be printed or downloaded for non-commercial research and scholarly purposes.
Supervisor or Senior Supervisor
Thesis advisor: Karaivanov, Alexander
Language
English
Member of collection
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