Sökning: "microstructure market data"

Visar resultat 11 - 15 av 18 uppsatser innehållade orden microstructure market data.

  1. 11. The Risk of Mini Flash Crashes

    D-uppsats, Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Författare :Tim Paulsson; [2017]
    Nyckelord :Mini Flash Crashes; Microstructure of Financial Markets; Inventory Management Effects; High Frequency Trading;

    Sammanfattning : This paper examines unique data on mini flash crashes in the American stock market in the time period ranging from 3 January 2006 to 3 February 2011. Data shows an autoregressive behaviour in the number of mini flash crashes (stock-day observations). However, the behaviour is complex and might differ a lot among individual stocks. LÄS MER

  3. 12. Inference of buffer queue times in data processing systems using Gaussian Processes : An introduction to latency prediction for dynamic software optimization in high-end trading systems

    Master-uppsats, KTH/Skolan för datavetenskap och kommunikation (CSC)

    Författare :Otto Hall; [2017]
    Nyckelord :gaussian processes; latency prediction; buffer queue times; non-parametric models; machine learning; direct market access; trading systems; microstructure market data; dynamic software optimisation;

    Sammanfattning : This study investigates whether Gaussian Process Regression can be applied to evaluate buffer queue times in large scale data processing systems. It is additionally considered whether high-frequency data stream rates can be generalized into a small subset of the sample space. LÄS MER

  4. 13. On-Line Market Microstructure Prediction Using Hidden Markov Models

    Master-uppsats, KTH/Matematisk statistik

    Författare :Måns Tillman; [2017]
    Nyckelord :;

    Sammanfattning : Over the last decades, financial markets have undergone dramatic changes. With the advent of the arbitrage pricing theory, along with new technology, markets have become more efficient. LÄS MER

  5. 14. Forecasting limit order book price changes using change point detection

    Magister-uppsats, Lunds universitet/Nationalekonomiska institutionen

    Författare :Sebastian Thorburn; [2015]
    Nyckelord :Change point detection; high frequency finance; limit order book; market microstructure; econometrics; Business and Economics;

    Sammanfattning : The main purpose of this thesis is to propose a method for using a change point detection algorithm to forecast short term limit order book price changes. The idea is to test whether a significant change of the shape of the limit order book contains any information about impending changes to mid market. LÄS MER

  7. 15. The Price Volatility of Bitcoin : A search for the drivers affecting the price volatility of this digital currency

    Master-uppsats, Umeå universitet/Företagsekonomi

    Författare :Nathalie Stråle Johansson; Malin Tjernström; [2014]
    Nyckelord :bitcoin; digital currency; volatility; GARCH 1; 1 ; market microstructure; behavioural finance; information demand; trade volume; asset price; risk; return; exchange;

    Sammanfattning : Created in 2009, the digital currency of bitcoin is a relatively new phenomenon. During this short period of time, it has however displayed a strong development of both price and trade volume. This has led to increased media attention, but also regulators and researchers have developed an interest. LÄS MER