Essays about: "High-frequency trading"

Showing result 1 - 5 of 53 essays containing the words High-frequency trading.

1. 1. On Predicting Price Volatility from Limit Order Books

   University essay from Uppsala universitet/Matematiska institutionen

   Author : Reza Dadfar; [2023]
   Keywords : General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

   Abstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE

3. 2. High-Frequency Market Reactions to Unscheduled Stock-Speci c News- An Empirical Analysis of the Intraday Market Dynamics of the Stockholm Stock Exchange

   University essay from Göteborgs universitet/Graduate School

   Author : Olle Ekesryd; Tom Carlson; [2022-06-29]
   Keywords : unscheduled news; intraday; e cient market hypothesis; high-frequency trading; sentiment analysis;

   Abstract : This study examines the e ect of unscheduled stock-speci c news on stock char- acteristics of the Swedish stock market and evaluates the opportunity of con- structing a news trading strategy. It especially focuses on volume and volatility reactions between sixty minutes prior to and after the news releases. READ MORE

4. 3. Reinforcement Learning for Market Making

   University essay from KTH/Matematisk statistik

   Author : Simon Carlsson; August Regnell; [2022]
   Keywords : Reinforcement learning; Market making; Deep reinforcement learning; Limit order book; Algorithmic trading; High-frequency trading; Machine learning; Artificial intelligence; Q-learning; DDQN; Förstärkningsinlärning; Market making; Djup förstärkningsinlärning; Limitorderbok; Algoritmisk handel; Högfrekvenshandel; Maskininlärning; Artificiell intelligens; Q-learning; DDQN;

   Abstract : Market making – the process of simultaneously and continuously providing buy and sell prices in a financial asset – is rather complicated to optimize. Applying reinforcement learning (RL) to infer optimal market making strategies is a relatively uncharted and novel research area. READ MORE

5. 4. PET-Exchange: A Privacy Enhanced Trading Framework : A Framework for Limit-Order Matching using Homomorphic Encryption in Trading

   University essay from Linköpings universitet/Institutionen för datavetenskap

   Author : Jacob Wahlman; [2022]
   Keywords : Homomorphic Encryption; Privacy; Securities Exchange; Privacy Enhancing Technologies;

   Abstract : Over the recent decades, an increasing amount of new traders has entered the securities markets in order to trade securities such as stocks and bonds on electronic and physical exchanges. This increase in trader activity can largely be attributed to a simpler trading process including the growth of the electronic securities exchanges allowing for more dynamic and global trading platforms. READ MORE

6. 5. Into the Dark: A study of the 2014, 2019, and 2020 post-trade anonymity reforms at Nasdaq Nordic and their impact on metrics of market quality

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Daniel Mattisson; Jacob Molin; [2022]
   Keywords : Market microstructure; Post-trade anonymity; Broker codes; Liquidity; Nasdaq Nordic;

   Abstract : We test the impact of three post-trade anonymity regimes implemented by Nasdaq Nordic in 2014, 2019, and 2020. Using a sample of Mid Cap and Large Cap stocks listed in Stockholm, Copenhagen, and Helsinki, we examine the effect of different anonymity setups on standard measures of market quality through a difference-in-differences approach. READ MORE