Essays about: "Noise trading"

Showing result 1 - 5 of 18 essays containing the words Noise trading.

  1. 1. Tackling Non-Stationarity in Reinforcement Learning via Latent Representation : An application to Intraday Foreign Exchange Trading

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

    Author : Adriano Mundo; [2023]
    Keywords : Reinforcement Learning; Latent Representation; VAE; Non-Stationary; FQI; FX Trading; Förstärkningsinlärning; Latent representation; VAE; Icke-stationär; FQI; FX handel;

    Abstract : Reinforcement Learning has applications in various domains, but the typical assumption is of a stationary process. Hence, when this hypothesis does not hold, performance may be sub-optimal. READ MORE

  3. 2. Not Just Noise: An Empirical Study of Irrational Noise Trading and its Role in Financial Markets

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Valter Ehrström; Linus Sigurdson; [2022]
    Keywords : Microstructure theory; Noise trading; Retail trading; Sports; Transaction costs;

    Abstract : This paper explores the role of irrational 'noise' traders in financial markets. Theory suggests that a lower share of irrational or uninformed trading in the market should lead to higher adverse selection costs, and that irrational trading should be more susceptible to exogenous, non-economic events that capture traders' time and attention. READ MORE

  4. 3. Viability Evaluation of the Turtle Trading Rules on Major Market Indexes

    University essay from KTH/Matematik (Avd.)

    Author : Malkolm Larsson; Johan Lövgren; [2022]
    Keywords : The Turtle Trading Rules; Asset Management; Geometric Brownian Motion; Market Index; MSCI Index; Turtle Trading-reglerna; kapitalförvaltning; geometrisk brownsk rörelse; marknadsindex; MSCI-index;

    Abstract : The Turtle Trading Rules was a successful trend-following trading strategy for commodities in the 1980s but has lost recognition in recent days. The strategy revolved around rules for entering and exiting trades as well as position sizing for each trade. READ MORE

  5. 4. Singular Value Decomposition as a Method for Analyses and Forecasts of Financial Data

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Axel Gustavsson; [2021]
    Keywords : Singular value decomposition; Technical analysis; Trading strategy; Finance; Business and Economics;

    Abstract : This paper examines the sufficiency of a trading method based on singular value decomposition (SVD) of past stock prices. The SVD method is frequently used as a tool to reduce data noise, compress big-data, and analyse data components. Hence, the method is well suited to form a ground for a predictive tool of price developments. READ MORE

  6. 5. ETFs and Volatility - An empirical study in the Swedish stock market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Lukas Bantle; Nikolai Doepel; [2019]
    Keywords : ETF; volatility; arbitrage; noise; price discovery;

    Abstract : ETFs have experienced tremendous growth and with it have gained increased relevance in the market over the last decade. Because of their special characteristics and close connection to their underlying securities, ETFs may propagate liquidity shocks through arbitrage channels into their underlying securities and thus increase the volatility of these securities. READ MORE