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Visar resultat 1 - 5 av 65 uppsatser som matchar ovanstående sökkriterier.

  1. 1. Högfrekvenshandels Inverkan på den Svenska Aktiemarknadens Volatilitet

    Kandidat-uppsats,

    Författare :Ludvig Streng; Eric Öjstrand; [2019-07-08]
    Nyckelord :High-frequency trading; HFT; volatility; liquidity; execution quota;

    Sammanfattning : The focus of this paper is to investigate whether or not high frequency trading affects market volatility. Research on the topic has not been conducted on the Swedish stock market which is the purpose of this thesis. Previous research has been conflicting over whether or not high frequency trading increases or decreases volatility. LÄS MER

  2. 2. 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

  3. 3. 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

  4. 4. 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

  5. 5. Predictability of return and volatility in Bitcoin markets

    Master-uppsats, Göteborgs universitet/Graduate School

    Författare :Martin Eimer; Lina Karlsson; [2018-07-03]
    Nyckelord :Bitcoin; Price Manipulation; Abnormal Liquidity; Spoofing; Limit Order Book; High Frequency Trading;

    Sammanfattning : MSc in Finance.... LÄS MER