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Visar resultat 26 - 30 av 81 uppsatser som matchar ovanstående sökkriterier.

  1. 26. Zero-Inflated Hidden Markov Models and Optimal Trading Strategies in High-Frequency Foreign Exchange Trading

    Master-uppsats, KTH/Matematisk statistik

    Författare :Joel Berhane; [2018]
    Nyckelord :;

    Sammanfattning : The properties of high-frequency foreign exchange markets and how well they can be modeled using Hidden Markov Models will be studied in this thesis. Specifically, a Zero-inflated Poisson HMM will be implemented and evaluated for high-frequency price data for the EURSEK exchange rate. LÄS MER

  3. 27. 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

  4. 28. 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

  5. 29. 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

  7. 30. 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