Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 18 of 18 for “"high frequency trading"”.
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High frequency trading system design and process management
Trading firms nowadays are highly reliant on data mining, computer modeling and software development. Financial analysts perform many similar tasks to those in software and manufacturing industries. However, the finance industry has not yet fully adopted high-standard systems engineering frameworks …
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A pure-jump market-making model for high-frequency trading
… a number of realistic features relevant for high-frequency trading. In particular, we model the dependency structure of prices and order arrivals with novel self- and cross-exciting point processes. Furthermore, instead of assuming the bid and ask prices can be adjusted continuously by the …
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Essays on stock exchanges speed competition, designs and high-frequency trading
… connection speeds because this will reduce its trading volume. I provide empirical evidence showing that slow exchanges lose trading volume to fast exchanges as the latter attract more price-improving orders. I first show that a slow exchange's (IEX) market share of trading volume in stocks with …
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Calibrating high frequency trading data to agent based models using approximate Bayesian computation
… successful calibrations of agent based models to high frequency trading data. Here we test whether a more sophisticated calibration technique, SMC ABC, will achieve this feat on one of the leading agent based models in high frequency trading literature (the Preis-Golke-Paul-Schneider Agent Based …
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Improving risk-adjusted performance in high-frequency trading: The role of fuzzy logic systems
In recent years, algorithmic and high-frequency trading have been the subject of increasing risk concerns. A general theme that we adopt in this thesis is that trading practitioners are predominantly interested in risk-adjusted performance. Likewise, regulators are demanding stricter risk controls. …
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Minimum-delay HF communications
… is renewed interest in the field of HF from the high-frequency trading industry, as a means of transmitting financial data. Ideally, decisions should be made on received symbols as soon as they arrive, without waiting for other samples to accumulate. A significant problem is that the ionospheric …
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Three Essays on Financial Economics
… discusses two realities of financial economic, high frequency trading and the shadow economy, which, despite their prevalence, are difficult to study due to their hidden nature. It attempts to shed more light on these two phenomena by using machine learning techniques and laboratory experiments. …
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A Quantamental approach to Bitcoin trading: Are we swinging for the Fences?
… automatic trades. It is important to distinguish high frequency trading from machine learning trading. The latter is used and analyzed in detail in the present work. This project explains the development of a trading strategy on Bitcoins based on machine learning techniques. A pipeline proposal is …
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Using Computers to Aid in Successful Trading and Investing
<p>In today’s world of high frequency trading and volatile markets, it is next to impossible for the average investor to make good decisions about where to put their money and for how long. There is a multitude of “hype” from many different directions including, television, magazine ads, internet …
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Essays on the microstructure of US equity options
… of US equity options. The appearance of high-frequency trading changed the process of trading and the structure of financial markets. Additionally, literature on individual equity options is relatively low because of the problems with data availability. Hence, the three essays investigate …
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Topics in Market Microstructure
The increase in trading volume raised concerns about the impact of algorithmic trading, which includes high frequency trading (HFT), on price discovery process and volatility. First chapter considers the regulatory debate concerning HFT which led the European Commission to suggest implementing a …
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Exploring eBPF Capabilities with Hardware Acceleration on FPGAs for High-Performance Networking
… systems increasingly demand lower latency and higher throughput, driven by trends such as cloud computing, real-time analytics, and high-frequency trading, FPGA-based solutions offer a powerful way to offload and accelerate data processing. Their reconfigurability, parallelism, and fine-grained …
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Price volatility and liquidity cost in grain futures markets
… corn futures contracts, this study reveals a highly liquid corn market, which with few exceptions offers order execution at minimum cost. BAS responds negatively to volume and positively to price volatility, but also affects volume traded and price volatility. While statistically significant, …
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Three essays on market transparency
… markets. I find that as much as 20 percent of trading volume is executed against hidden orders in NASDAQ, and 16 percent of time the best bid and offer is represented by hidden orders. The observed bid-ask spread is 34 percent larger than the true spread because of invisible orders. Hidden …
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Three essays in asset pricing
Submission original under an indefinite embargo labeled 'Open Access'. The submission was exported from vireo on 2022-11-11 without embargo terms
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Price jumps and volatility in U.S. agricultural futures markets
… have changed with the arrival of electronic trading. Electronic trading platforms have facilitated the emergence of automated systems in these markets which are now experiencing a race among traders to gain speed in implementing transactions. This new trading environment raises questions …
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Investors' horizon and stock prices
… three essays on the relation between investors' trading horizon and stock prices. The first chapter explores the theoretical relation between the horizon of traders and the negative externality generated by their activity on the information revealed by stock prices. The last two chapters focus on …
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A language for expressing technical market indicators, its optimisation and application
… that allows to describe indicators from the high level concepts down to individual trades in a precise and unambiguous way. This is done by deconstructing indicators into constituting elements and then using that DSL to describe individual elements. Then, the elements are connected together …