Sökning: "Limit Order Book"

Visar resultat 1 - 5 av 28 uppsatser innehållade orden Limit Order Book.

  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. Optimal Order Placement Using Markov Models of Limit Order Books

    Master-uppsats, KTH/Matematik (Avd.)

    Författare :Max Oliveberg; [2023]
    Nyckelord :Optimal order placement; Limit order book; Markov; Optimal orderläggning; Orderbok; Markov;

    Sammanfattning : We study optimal order placement in a limit order book. By modelling the limit order book dynamics as a Markov chain, we can frame the purchase of a single share as a Markov Decision Process. Within the framework of the model, we can estimate optimal decision policies numerically. The trade rate is varied using a running cost control variable. LÄS MER

  5. 4. Expansions of neutrino oscillation and decay probabilities in matter

    Master-uppsats, KTH/Fysik

    Författare :Jesper Grönroos; [2023]
    Nyckelord :Theoretical physics; Particle physics; Neutrino physics; Neutrino oscillations; Series expansions; Physics beyond the Standard Model; Teoretisk fysik; Partikelfysik; Neutrinofysik; Neutrinooscillationer; Serieutvecklingar; Fysik bortom Standardmodellen;

    Sammanfattning : We consider a simple model for invisible neutrino decay as a sub-leading effect in the standard three-flavor neutrino oscillation framework, and use the Cayley–Hamilton formalism to obtain a full set of neutrino oscillation probabilities in matter. These are given as analytical series expansions in the small parameters α ∼ O(λ^2) and s_13 ∼ O(λ), where λ ≡ 0. LÄS MER

  7. 5. Statistical Modelling of Price Difference Durations Between Limit Order Books: Applications in Smart Order Routing

    Master-uppsats, KTH/Matematisk statistik

    Författare :Hannes Backe; David Rydberg; [2023]
    Nyckelord :Smart Order Routing; Market Microstructure; Statistical Modelling; Survival Analysis; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest; Smart Order Routing; Marknadsmikrostruktur; Statistisk Modellering; Överlevnadsanalys; Kaplan-Meier; Cox Proportional Hazards; Random Survival Forest;

    Sammanfattning : The modern electronic financial market is composed of a large amount of actors. With the surge in algorithmic trading some of these actors collectively behave in increasingly complex ways. Historically, academic research related to financial markets has been focused on areas such as asset pricing, portfolio management and financial econometrics. LÄS MER