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Modelling the executed volume of the OMXS30 TM index futures morning call auction
KTH, School of Engineering Sciences (SCI).
2013 (English)Independent thesis Basic level (degree of Bachelor), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

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

the issue.

Place, publisher, year, edition, pages
2013. , 40 p.
National Category
Engineering and Technology
URN: urn:nbn:se:kth:diva-128726OAI: diva2:648544
Available from: 2013-09-16 Created: 2013-09-16 Last updated: 2013-09-16Bibliographically approved

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