Essays about: "pair trading"

Showing result 1 - 5 of 14 essays containing the words pair trading.

1. 1. CryptoCurrency Time Series analysis : Comparative analysis between LSTM and BART Algorithm

   University essay from Blekinge Tekniska Högskola/Institutionen för datavetenskap

   Author : Lakshmi Vyshnavi Nerella; Chiranjeevi Ponnada; [2023]
   Keywords : ;

   Abstract : Background: Cryptocurrency is an innovative digital or virtual form of money thatuses cryptographic techniques for secured financial transactions within a decentralized structure. Due to its high volatility and susceptibility to external factors, itis difficult to understand its behavior which makes accurate predictions challengingfor the investors who are trying to forecast price changes and make profitable investments. READ MORE

3. 2. Pairs trading on the Swedish equity market; Cointegrate and Capitalize

   University essay from Uppsala universitet/Statistiska institutionen

   Author : Eric Qvennerstedt; William Svensson; [2018]
   Keywords : Cointegration; Dual class shares; Mean Reversion; Pairs Trading; Arbitrage;

   Abstract : This thesis investigates the long- and short- run stability of Cointegrated dual share equity pairs on the Swedish Equity Market. Testing for a cointegrated relationship on each pair are executed for a 13 year period to establish the cointegrated pairs. The stability of each cointegrated pair is then estimated using a rolling two year period. READ MORE

4. 3. Strategies for High Frequency FX Trading - The choice of bucket size

   University essay from Lunds universitet/Matematisk statistik

   Author : Malin Lunsjö; Malin Riddarström; [2017]
   Keywords : Highfrequency; FXtrading; Shiftedgeometricdistribution; MonteCarlo; Time Series Analysis; EWMA; Bucket size; TWAP.; Mathematics and Statistics;

   Abstract : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. READ MORE

5. 4. A Study of the Price Distribution in Foreign Exchange

   University essay from Umeå universitet/Institutionen för matematik och matematisk statistik

   Author : Joakim Fernander; Jacob Norrman; [2016]
   Keywords : ;

   Abstract : The aim of this thesis was to develop models that can indicate at what relativelevel orders should be placed to obtain a specific market share in foreign exchange(FX). This was conducted at the E-markets department at SkandinaviskaEnskilda Banken (SEB). To understand how trades occur, the Skew-function wasdeveloped. READ MORE

6. 5. Classification of high-frequency FX market data : Master Thesis

   University essay from Uppsala universitet/Avdelningen för systemteknik

   Author : David Lundberg; [2015]
   Keywords : David; Lundberg; Classification; of; high; frequency; FX; market; data; Engineering; Physics;

   Abstract : The goal of this master thesis was to develop a method for real-time classification of market trading data at the Foreign Exchange (FX) department at the Skandinaviska Enskilda Bank (SEB). The characteristics in the market data sets were analyzed using Principal Component Analysis (PCA). READ MORE