Essays about: "Malin Lunsjö"

Found 1 essay containing the words Malin Lunsjö.

  1. 1. Strategies for High Frequency FX Trading - The choice of bucket size

    University essay from Lunds universitet/Matematisk statistik

    Author : Malin Lunsjö; Malin Riddarström; [2017]
    Keywords : Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

    Abstract : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. READ MORE