Essays about: "limit order book"
Showing result 11 - 15 of 22 essays containing the words limit order book.
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11. E-book market adoption in Sweden
University essay from Blekinge Tekniska Högskola/Institutionen för industriell ekonomiAbstract : The purpose of this thesis is to contribute to the knowledge about why customers select e-books, paper books or audiobooks, and what differences exist for different customer groups. Considering that publishing is a really old business, well established hundreds of years before the internet, it is not surprising that disruptive new concepts as e-books, audiobooks and the internet require the companies to change their way of doing and looking upon business. READ MORE
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12. 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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13. The Next Tick on Nasdaq Stockholm: Predicting Price Direction in Limit Order Books Using Order Imbalance
University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomiAbstract : We explore complete Level II limit order books for eight stocks listed on Nasdaq Stockholm during 2016 and investigate the use of the imbalance between bid and ask volumes in predicting the direction of price change in an ultra-high-frequency environment. Specifically, we test whether a top-of-the-book (Level I) measure of order imbalance and a deeper-in-the-book (Level II) measure can predict the direction of a change in the mid-price of a security for up to three events before the change occurs. READ MORE
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14. Comparing fast- and slow-acting features for short-term price predictions
University essay from KTH/Matematisk statistikAbstract : This thesis compares two groups of features for short-term price predictions of futures contracts; fast- and slow-acting features. The fast-acting group are based on limit order book derived features and technical indicators that reacts to changes in price quickly. READ MORE
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15. Predicting High Frequency Exchange Rates using Machine Learning
University essay from KTH/Matematisk statistikAbstract : This thesis applies a committee of Artificial Neural Networks and Support Vector Machines on high-dimensional, high-frequency EUR/USD exchange rate data in an effort to predict directional market movements on up to a 60 second prediction horizon. The study shows that combining multiple classifiers into a committee produces improved precision relative to the best individual committee members and outperforms previously reported results. READ MORE
