Sökning: "high frequency trading"

Visar resultat 1 - 5 av 63 uppsatser innehållade orden high frequency trading.

  1. 1. Column-based storage for analysis of high-frequency stock trading data

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Abdallah Hassan; [2019]
    Nyckelord :;

    Sammanfattning : This study investigated the efficiency of the available open-source columnbased storage formats with support for semi-flexible data in combination with query engines that support querying these formats. Two different formats were identified, Parquet and ORC, and both were tested in two different modes, uncompressed and compressed with the compression algorithm Snappy. LÄS MER

  2. 2. 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; [2019]
    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

  3. 3. Utilizing Privately Owned Flexibilities in the German Distribution System : Technical and Regulatory Framework

    Master-uppsats, KTH/Skolan för elektroteknik och datavetenskap (EECS)

    Författare :Nahal Tamadon; [2019]
    Nyckelord :;

    Sammanfattning : This Master’s thesis project aims to define the technical and regulatory framework of asystem flexibility service utilizing distributed flexibilities connected to the low-voltage (LV)level. The flexibility service outlined here is local balancing, with the purpose of increasing theload-generation balance in LV networks using thermostatically controlled loads and ElectricalEnergy Storage (EES) devices. LÄS MER

  4. 4. Algoritmisk handel - en kartläggning av risk, volatilitet, likviditet och övervakning

    Kandidat-uppsats, Södertörns högskola/Företagsekonomi; Södertörns högskola/Företagsekonomi

    Författare :Mimmi Elofsson Bjesse; Emma Eriksson; [2018]
    Nyckelord :Algorithmic Trading; High Frequency Trading; Volatility; Liquidity; MiFID II;

    Sammanfattning : As technological changes have revolutionized the way financials assets are traded today, algorithmic trading has grown to become a major part of the world's stock markets. This study aims to explore algorithmic trading through the eyes of different market operators. LÄS MER

  5. 5. An Application of the Continuous Wavelet Transform to Financial Time Series

    Master-uppsats, Lunds universitet/Institutionen för elektro- och informationsteknik

    Författare :Klas Eliasson; [2018]
    Nyckelord :Wavelets; Continuous Wavelet Transform; CWT; Financial Time Series; Currency Trading; Technology and Engineering;

    Sammanfattning : Wavelet theory, which shares fundamental concepts with windowed Fourier analysis, introduces the notion of scale in an effort to aid in joint time-frequency analysis. Having century-old roots, much of the essential research on the subject of wavelets was conducted during the 1970s and 1980s. LÄS MER