Essays about: "Optimal trading range"

Found 3 essays containing the words Optimal trading range.

  1. 1. Stock Splits' Impact on Liquidity Under Current Market Conditions

    University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansiering

    Author : Ludvig Völcker; Lowiza Svensson; [2023]
    Keywords : Splits; Liquidity; Signaling; Optimal trading range; Nasdaq Stockholm;

    Abstract : This study examines whether stock splits still improve liquidity under current market conditions. To do so, we conduct three t-tests to examine changes in the bid-ask spread, turnover in relation to market capitalization, and Amivest Liquidity Ratio, around 64 share splits on Nasdaq Stockholm between 2013 and 2022, both for individual firms and on a general level. READ MORE

  3. 2. 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

  4. 3. Minimum Variance Portfolios in the Swedish Equity Market

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Erik Bork; Bardi Jonsson; [2011]
    Keywords : Minimum Variance Portfolios; Investment Strategy; Swedish Equity; Portfolio Optimization; Predicting Covariance;

    Abstract : Recent research in finance has suggested an investment strategy aimed at reducing volatility without sacrificing returns. This is the concept of minimum variance trading strategies, which has gained popularity in both academia and the industry in recent years. READ MORE