Essays about: "Intraday market"

Showing result 16 - 20 of 51 essays containing the words Intraday market.

1. 16. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Jim Domeij; Oscar Krieg; [2021]
   Keywords : Market Microstructure Invariance; Bid-ask spread; Liquidity; Swedish stock market; Market impact;

   Abstract : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. READ MORE

3. 17. Bitcoin’s Response to U.S. Monetary Policy Easing Announcements

   University essay from Lunds universitet/Nationalekonomiska institutionen

   Author : Emilia Felicidad Alarcon Valdez; [2021]
   Keywords : Bitcoin; Federal Reserve; Monetary Policy Easing; Inflation; Intraday data; Business and Economics;

   Abstract : This paper aims to evaluate the effect of the U.S. monetary policy on the bitcoin price. In particular, how monetary policy easing affects the bitcoin returns. READ MORE

4. 18. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces

   University essay from KTH/Matematisk statistik

   Author : Christopher Herron; André Zachrisson; [2020]
   Keywords : Applied Mathematics; Machine Learning; Statistics; Gaussian Process; Neural Network; Options; Volatility; Implied Volatility Surface; Black Scholes; Tillämpad matematik; Maskininlärning; Statistik; Gaussisk Process; Neurala Nätverk; Optioner; Volatilitet; Implicit Volatilitetsyta; Black Scholes;

   Abstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE

5. 19. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Gustaf Gustafsson; Sebastian Gerell; [2020]
   Keywords : Leveraged ETFs; Financial Stability; Market Microstructure Invariance; Price Impact; Sweden;

   Abstract : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. READ MORE

6. 20. Intraday price prediction of Nordic stocks with limit order book data

   University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

   Author : Filippa Bång; [2020]
   Keywords : ;

   Abstract : Predicting the direction of mid price changes could facilitate the decision of when in time an order should be placed on the market. The purpose of this thesis is to evaluate modelling approaches used to classify the direction of mid price changes in the limit order book on short term. READ MORE