The thesis aims to study and model the executed volume of the OMXS30
futures morning call auction. Better understanding of the underlying mechanics
of this auction could possibly be used by traders to gain an advantage
over the competition. It is also of pure academic interest to question
if it is possible to predict the outcome of the auction in a meaningful way.
Short interviews were conducted to determine some of the initial covariates
to be included in the model. The data was collected and then used
in a multiple linear regression model. Various tests were run to determine
which covariates were signicantly reliable and if not signicant they were
excluded. This resulted in a nal model with an acceptable
R2 where all
covariates were highly signicant. The result was then bootstrapped and
cross validated using standard techniques.
The author draws the conclusion that considering the limitations of
the linear model and the semi-random behavior of the auction, the model
satises the primary purpose of the study. It is also noted that further
research, specically in time series analysis, can probably further elucidate
2013. , 40 p.