Optimization importance in high-frequency algorithmic trading

University essay from Akademin för utbildning, kultur och kommunikation

Author: Vadim Suvorin; Dmytro Sheludchenko; [2012]

Keywords: Trading strategies; algorithmic trading; optimization; futures; stock markets; high frequency trading;

Abstract: The thesis offers a framework for trading algorithm optimization and tests statistical and economical significance of its performance on American, Swedish and Russian futures markets. The results provide strong support for proposed method, as using the presented ideas one can build an intraday trading algorithm that outperforms the market in long term.

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