Essays about: "intraday trading"

Showing result 6 - 10 of 29 essays containing the words intraday trading.

  1. 6. Tackling Non-Stationarity in Reinforcement Learning via Latent Representation : An application to Intraday Foreign Exchange Trading

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Adriano Mundo; [2023]
    Keywords : Reinforcement Learning; Latent Representation; VAE; Non-Stationary; FQI; FX Trading; Förstärkningsinlärning; Latent representation; VAE; Icke-stationär; FQI; FX handel;

    Abstract : Reinforcement Learning has applications in various domains, but the typical assumption is of a stationary process. Hence, when this hypothesis does not hold, performance may be sub-optimal. READ MORE

  3. 7. 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 School

    Author : Olle Ekesryd; Tom Carlson; [2022-06-29]
    Keywords : unscheduled news; intraday; e cient market hypothesis; high-frequency trading; sentiment analysis;

    Abstract : 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

  4. 8. Predicting Liquidity In The Cryptocurrency Market: Testing The Invariance Theory On A New Market Structure And Asset Class

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Charles Gyllhamn; Jacob Winberg; [2022]
    Keywords : Market microstructure; invariance; bid-ask spread; liquidity; Cryptocurrencies;

    Abstract : By integrating dimensional analysis and principles of market microstructure invariance, this study documents a nearly invariant relationship between relative bid-ask spreads and illiquidity for the cryptocurrency market. The relationship is found by studying cryptocurrency trading data in two dimensions; Along a time series dimension, where data is aggregated on a daily level, and along an intraday dimension, where variables are aggregated at five-minute intervals across all trading days. READ MORE

  5. 9. Forecasting Electricity Prices for Intraday Markets with Machine Learning : An exploratory comparison of the state of the art

    University essay from KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Author : Panagiotis-Christos Kotsias; [2022]
    Keywords : Electricity Trading; Intraday Market; Price Forecasting; Machine Learning; Elhandel; Intradagsmarknad; Prisprognoser; Maskininlärning;

    Abstract : Electricity needs to be consumed when it is produced, making sure that supply closely meets demand at all times. To account for the rapidly changing operational status and the need for increasing the flexibility of power systems, financial instruments have been put in place creating markets where electricity is traded as a commodity across different time frames; from months or days to minutes before, or even after, planned delivery. READ MORE

  6. 10. In the Eye of a Pandemic: An Event Study of the Swedish Stock Market Reactions to the Covid-19 Press Conferences

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Julia Karnermo; Emma Sedolin; [2021]
    Keywords : Sweden; Covid-19; News Announcements; Behavioral Finance; Sentiment;

    Abstract : Using intraday trading data for the Swedish stock market, this paper examines the stock market reactions to The Public Health Agency of Sweden's daily press conferences covering Covid-19. Our results indicate that stock returns immediately drop at the 1% significance level when negative news are announced. READ MORE