Essays about: "algoritmisk handel"
Showing result 1 - 5 of 8 essays containing the words algoritmisk handel.
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1. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing
University essay from KTH/Matematisk statistikAbstract : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. READ MORE
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2. Reinforcement Learning for Market Making
University essay from KTH/Matematisk statistikAbstract : 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
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3. Cross-zonal trading in the continuous intraday market : An agent-based model approach
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : The accelerating growth of variable energy sources in the European market has brought to weather-dependent and less predictable generation profiles, which leads to a shift of the traded volumes from the day-ahead to the continuous intraday market because the latter is important for adjusting final imbalances. The undergoing transformation of the market introduces the need for improved trading solutions, seen already in the growing use of algorithmic trading, and for optimal market design, including the transmission capacity allocation management. READ MORE
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4. Algorithmic Stock Trading using Deep Reinforcement learning
University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)Abstract : Recent breakthroughs in Deep Learning and Reinforcement Learning have enabled the new field of Deep Reinforcement Learning. This study explores some of the state of the art applications of deep reinforcement learning in the field of finance and algorithmic trading. By building on previous research from Yang et al. READ MORE
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5. Algorithmic Trading and Prediction of Foreign Exchange Rates Based on the Option Expiration Effect
University essay from KTH/Matematisk statistikAbstract : The equity option expiration effect is a well observed phenomenon and is explained by delta hedge rebalancing and pinning risk, which makes the strike price of an option work as a magnet for the underlying price. The FX option expiration effect has not previously been explored to the same extent. READ MORE
