Sökning: "High-frequency trading"

Visar resultat 21 - 25 av 66 uppsatser innehållade orden High-frequency trading.

1. 21. How 140 Characters can be related to the Stock Market Movements: Sentiment Analysis of Twitter

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Levi Bergstrand; Maksim Khritantsev; [2018]
   Nyckelord :stock returns; tweet sentiments; lexicon based; panel data; regression analysis; machine learning; support vector machines; random forest; Business and Economics;

   Sammanfattning : Stock market movements forecast based on sentiment analysis is certainly a field worth investigating. Being able to build future investment strategies based on forecasted stock returns would be of tremendous importance for individual investors and high-frequency trading firms. LÄS MER

3. 22. The Next Tick on Nasdaq Stockholm: Predicting Price Direction in Limit Order Books Using Order Imbalance

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

   Författare :Jamil Al-Najjar; Julian Kramer; [2018]
   Nyckelord :high frequency trading; limit order books; order imbalance; price prediction;

   Sammanfattning : 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. LÄS MER

4. 23. Does High-Frequency Trading Affect Stock Market Predictability?

   Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

   Författare :Gustav Egesten; David Hasselström; [2018]
   Nyckelord :High-Frequency Trading; Predictability; Forecasting; ARMA; GARCH; Business and Economics;

   Sammanfattning : In this paper, it is investigated whether High-Frequency Trading has an impact on the stock market predictability or not, using nine different Autoregressive moving average models forecasts are generated. Thenceforth, ordinary least squares are used to regress the variance of the forecasting errors with High-Frequency Trading as an explanatory variable in order to see if it has any form of impact. LÄS MER

5. 24. Do not Throw the Baby out with the Bath Water. An Analysis of the Potential Effects of the Legal Measures Adopted in the EU and the US in Response to the Proliferation of High Frequency Trading

   Magister-uppsats, Göteborgs universitet/Juridiska institutionen

   Författare :Gustaf Wiklund; [2017-04-21]
   Nyckelord :;

   Sammanfattning : Following the recent expansion of High Frequency Trading and other types of Algorithmic Trading, the financial markets law of the EU and the US has seen the introduction of numerous new rules, all of which have been adopted within a rather tight timeframe. The main purpose of these measures is, and has been, to counter the chaos allegedly characterising markets. LÄS MER

7. 25. Toxicity Levels of Stock Markets : Observing Information Asymmetry in a Multi-Market Setting

   Kandidat-uppsats, KTH/Matematisk statistik

   Författare :Lukas Molander; Shih Jung Yape; [2017]
   Nyckelord :High frequency trading HFT ; Market microstructure; Order ow toxicity; Contagion; Adverse selection; Predatory HFT-strategies; Toxicity levels;

   Sammanfattning : The presence of toxic order ow and predatory HFT strategies in a multi-market setting are scarcely researched in the academic world. This thesis studies the toxicity levels of a set of markets by examining unconsolidated quote data and firm specific trade data. LÄS MER