Optimization importance in high-frequency algorithmic trading
Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis
The thesis offers a framework for trading algorithm optimization and tests statistical and economical significance of its performance on American, Swedish and Russian futures markets. The results provide strong support for proposed method, as using the presented ideas one can build an intraday trading algorithm that outperforms the market in long term.
Place, publisher, year, edition, pages
2012. , 31 p.
Trading strategies, algorithmic trading, optimization, futures, stock markets, high frequency trading
Mathematics Economics and Business
IdentifiersURN: urn:nbn:se:mdh:diva-14645OAI: oai:DiVA.org:mdh-14645DiVA: diva2:528567
Subject / course
2012-06-12, 13:00 (English)
UppsokPhysics, Chemistry, Mathematics
Pettersson, Lars, Consulting Senior Lecturer
Malyarenko, Anatoliy, Docent