Essays about: "Orderbok"
Found 4 essays containing the word Orderbok.
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1. Optimal Order Placement Using Markov Models of Limit Order Books
University essay from KTH/Matematik (Avd.)Abstract : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. READ MORE
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2. A Framework to Model Bond Liquidity
University essay from KTH/Matematik (Avd.)Abstract : The liquidity of financial assets can be studied in various different ways. In this thesis, liquidity is defined as the cost and time required to liquidate a position. READ MORE
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3. Simulating market maker behaviour using Deep Reinforcement Learning to understand market microstructure
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Market microstructure studies the process of exchanging assets underexplicit trading rules. With algorithmic trading and high-frequencytrading, modern financial markets have seen profound changes in marketmicrostructure in the last 5 to 10 years. READ MORE
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4. Forecasting Price-Level on Trades of Financial Instruments using Orderbook Activity.
University essay from KTH/Matematisk statistikAbstract : In today’s highly competitive trading climate it is getting more important to understand the fundamentals of the orderbook and how it works in practice in order to stand out in the competition. Better knowledge of the orderbook statistics can be applied in areas such as high frequencyand execution trading. READ MORE