Sökning: "Fredrik Lidefelt"

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1. 1. Price Impact Correlation Between Buy-/Sell-Pressure in the Stock Market and Subsequent Price Changes

   Master-uppsats, Lunds universitet/Matematisk statistik

   Författare :Eric Saidac; Fredrik Lidefelt; [2017]
   Nyckelord :Mathematics and Statistics;

   Sammanfattning : In this thesis, the correlation between aggregated buy-/sell-pressure and price change is analyzed, something often referred to as price impact. The purpose is not only to find a model that can explain how prices change given a certain traded volume, but also to see how much of the variance in price changes results from the actual buy- or sell-pressure. LÄS MER