Sökning: "High frequency-trading"

Visar resultat 1 - 5 av 46 uppsatser innehållade orden High frequency-trading.

  1. 1. Dynamik och tillförlighet i finansiell prognostisering : En analys av djupinlärningsmodeller och deras reaktion på marknadsmanipulation

    M1-uppsats, KTH/Hälsoinformatik och logistik

    Författare :Aya Zawahri; Nanci Ibrahim; [2024]
    Nyckelord :LOB; market manipulation; spoofing; layering; DeepLOB; DeepLOB-Attention; TCN; DeepLOB-seq2seq; DTNN; ITCH; parsing.; LOB; marknadsmanipulation; spoofing; layering; DeepLOB; DeepLOB-Attention; TCN; DeepLOB-seq2seq; DTNN; ITCH; parsing.;

    Sammanfattning : Under åren har intensiv forskning pågått för att förbättra maskininlärningsmodellers förmåga att förutse marknadsrörelser. Trots detta har det, under finanshistorien, inträffat flera händelser, såsom "Flash-crash", som har påverkat marknaden och haft dramatiska konsekvenser för prisrörelserna. LÄS MER

  3. 2. On Predicting Price Volatility from Limit Order Books

    Master-uppsats, Uppsala universitet/Matematiska institutionen

    Författare :Reza Dadfar; [2023]
    Nyckelord :General Compound Hawkes Process; Limit Order Book LOB ; High- Frequency Trading; Price Volatility; Markov Chain.;

    Sammanfattning : Accurate forecasting of stock price movements is crucial for optimizing trade execution and mitigating risk in automated trading environments, especially when leveraging Limit Order Book (LOB) data. However, developing predictive models from LOB data presents substantial challenges due to its inherent complexities and high-frequency nature. LÄS MER

  4. 3. High-Frequency Market Reactions to Unscheduled Stock-Speci c News- An Empirical Analysis of the Intraday Market Dynamics of the Stockholm Stock Exchange

    Master-uppsats, Göteborgs universitet/Graduate School

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

    Sammanfattning : 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. LÄS MER

  5. 4. Reinforcement Learning for Market Making

    Master-uppsats, KTH/Matematisk statistik

    Författare :Simon Carlsson; August Regnell; [2022]
    Nyckelord :Reinforcement learning; Market making; Deep reinforcement learning; Limit order book; Algorithmic trading; High-frequency trading; Machine learning; Artificial intelligence; Q-learning; DDQN; Förstärkningsinlärning; Market making; Djup förstärkningsinlärning; Limitorderbok; Algoritmisk handel; Högfrekvenshandel; Maskininlärning; Artificiell intelligens; Q-learning; DDQN;

    Sammanfattning : Market making – the process of simultaneously and continuously providing buy and sell prices in a financial asset – is rather complicated to optimize. Applying reinforcement learning (RL) to infer optimal market making strategies is a relatively uncharted and novel research area. LÄS MER

  7. 5. Into the Dark: A study of the 2014, 2019, and 2020 post-trade anonymity reforms at Nasdaq Nordic and their impact on metrics of market quality

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Daniel Mattisson; Jacob Molin; [2022]
    Nyckelord :Market microstructure; Post-trade anonymity; Broker codes; Liquidity; Nasdaq Nordic;

    Sammanfattning : We test the impact of three post-trade anonymity regimes implemented by Nasdaq Nordic in 2014, 2019, and 2020. Using a sample of Mid Cap and Large Cap stocks listed in Stockholm, Copenhagen, and Helsinki, we examine the effect of different anonymity setups on standard measures of market quality through a difference-in-differences approach. LÄS MER