Sökning: "Malin Riddarström"
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1. Strategies for High Frequency FX Trading - The choice of bucket size
Master-uppsats, Lunds universitet/Matematisk statistikSammanfattning : This thesis aims at developing and evaluating a model for high frequency foreign exchange data, that beats the TWAP benchmark the majority of the time. This is done by dividing the total order time into smaller time buckets and trading a smaller quantity of the total order volume in each bucket. LÄS MER
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