Essays about: "intraday trading"
Showing result 11 - 15 of 29 essays containing the words intraday trading.
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11. 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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12. Market Microstructure Invariance, Bid-Ask Spreads and Impact Costs in the Swedish Stock Market : A Transaction Cost Analysis for Intraday Trading in Swedish Stocks
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : By studying high-frequency trading data for the Swedish stock market, as proxied by the OMXS30 index, we find that there exists an invariant relationship between transaction cost components and illiquidity. Specifically, we apply the notions of market microstructure and intraday trading invariance to confirm the existence of a proportional relationship between the relative bid-ask spread and an illiquidity measure comprised of observable financial market variables, such as trade volume, price and volatility. READ MORE
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13. Machine Learning Based Intraday Calibration of End of Day Implied Volatility Surfaces
University essay from KTH/Matematisk statistikAbstract : The implied volatility surface plays an important role for Front office and Risk Management functions at Nasdaq and other financial institutions which require mark-to-market of derivative books intraday in order to properly value their instruments and measure risk in trading activities. Based on the aforementioned business needs, being able to calibrate an end of day implied volatility surface based on new market information is a sought after trait. READ MORE
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14. Chasing Your Own Tail: The Market Stability Impact of Leveraged and Inverse Exchange-Traded Funds
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : This thesis explores the market stability impact of the positive feedback mechanism of leveraged and inverse exchange-traded funds' (LETFs) rebalancing trades. We explore potential market stability effects by analysing intraday minute-by-minute data for underlying stocks in the OMXS30 and aggregate rebalancing flows for LETFs tracking the index. READ MORE
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15. Market Reactions to Stock Recommendations in Business Media: An Event Study on Publications by Börsplus
University essay from Handelshögskolan i Stockholm/Institutionen för redovisning och finansieringAbstract : The aim of this thesis was to further the understanding of how business media affects stock markets. That was achieved by studying market reactions to the publication of stock recommendations by Börsplus on the Swedish stock market during the minutes and days following the publication of the recommendations. READ MORE
