Essays about: "high frequency trading"
Showing result 1 - 5 of 66 essays containing the words high frequency trading.
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1. On Predicting Price Volatility from Limit Order Books
University essay from Uppsala universitet/Matematiska institutionenAbstract : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. READ MORE
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2. A Quantitative Framework for Constructing a Multi-Asset CTA with a Momentum-Based Approach
University essay from Uppsala universitet/DatalogiAbstract : Commodity Trading Advisors (CTAs) have gained popularity due to their abilities to generate an absolute return strategy. Little is known about how CTAs work and what variables are important to tune in order to create a profitable strategy. READ MORE
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3. Hybrid Instruments and the Role played by Credit Rating Agencies and IAS 32
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : Financial instruments with characteristics of equity (FICEs) are complex securities that have features lying in between equity and liability, making their classification particularly challenging. This paper has therefore explored several under-researched areas related to the issuance of FICEs by publicly trading European companies. READ MORE
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4. High-Frequency Market Reactions to Unscheduled Stock-Speci c News- An Empirical Analysis of the Intraday Market Dynamics of the Stockholm Stock Exchange
University essay from Göteborgs universitet/Graduate SchoolAbstract : This study examines the e ect of unscheduled stock-speci c news on stock char- acteristics of the Swedish stock market and evaluates the opportunity of con- structing a news trading strategy. It especially focuses on volume and volatility reactions between sixty minutes prior to and after the news releases. READ MORE
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5. 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