Sökning: "trading volym"

Visar resultat 1 - 5 av 9 uppsatser innehållade orden trading volym.

  1. 1. The Predictive Power of Implied Volatility in Option Pricing

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Lovisa Berglund; [2023]
    Nyckelord :Option Pricing; Black-Scholes; Finance; Implied Volatility; Applied Mathematics; Machine Learning; Optionsprissättning; Black-Scholes; Finans; Implicit Volatilitet; Tillämpad Matematik; Maskininlärning;

    Sammanfattning : During the last few years, financial derivatives have been growing in trading volume. There seem to be a high demand and supply of derivatives on the market and one common derivative is the option contract. The option contract is frequently the subject of studies and many different pricing models have been created for options. LÄS MER

  3. 2. Toxicity Levels of Stock Markets : Observing Information Asymmetry in a Multi-Market Setting

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Lukas Molander; Shih Jung Yape; [2017]
    Nyckelord :High frequency trading HFT ; Market microstructure; Order ow toxicity; Contagion; Adverse selection; Predatory HFT-strategies; Toxicity levels;

    Sammanfattning : The presence of toxic order ow and predatory HFT strategies in a multi-market setting are scarcely researched in the academic world. This thesis studies the toxicity levels of a set of markets by examining unconsolidated quote data and firm specific trade data. LÄS MER

  4. 3. Cross-market optimization for a hydro pumped storage using dynamic programming

    Master-uppsats, KTH/Skolan för elektro- och systemteknik (EES)

    Författare :Julia Caroline Suc; [2016]
    Nyckelord :;

    Sammanfattning : Following the liberalization of the electricity sector and the increase of renewables, the design of the electricity markets has evolved. Optimization techniques and models for power system generation scheduling including multiple markets are nowadays crucial. LÄS MER

  5. 4. Vad blir effekterna av listbyten? : en sambandsorienterad studie mellan listbyten och dess effekt på volym, volatilitet samt likviditet

    Kandidat-uppsats, Högskolan Kristianstad/Sektionen för hälsa och samhälle

    Författare :Simon Thoresson; Johan Andersson; [2015]
    Nyckelord :trading volume; volatility; liquidity; hypothesis; change in trading location; list effect; event-study; efficient market hypothesis; anomalies; Handlad volym; volatilitet; likviditet; hypoteser; listbyte; listeffekt; eventstudie; anomalier;

    Sammanfattning : Det finns sedan tidigare redan studier om hur olika faktorer så som handlad volym, volatilitet och likviditet påverkas av ett listbyte. Det finns dock en motstridighet mellan denna forskning och Efficient Market Hypothesis och flera studier visar på att Efficient Market Hypothesis inte är applicerbar. LÄS MER

  7. 5. Intraday Analysis & Prediction of Volume Distribution on the Stockholm Stock Exchange : An exploratory study of volume distribution and automated trading

    Kandidat-uppsats, KTH/Matematisk statistik

    Författare :Henrik Ribom; Mathias Sjöberg; [2015]
    Nyckelord :Trade Volume; Regression; Prediction Mixed Beta Distribution; Handels volym; Regression; Prediktion Mixad beta fördelning;

    Sammanfattning : The purpose of this study is to create a model of prediction for the volume distribution. Due to the lack of previous studies on the subject, an exploratory approach is used, with the purpose of serving as a proof of concept for further research. LÄS MER