Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Market Data Simulation
Umeå University, Faculty of Science and Technology, Department of Computing Science.
2014 (English)Independent thesis Advanced level (degree of Master (Two Years)), 20 credits / 30 HE creditsStudent thesis
Abstract [en]

A simple electronic market is implemented where low intelligence agents engage in trading according to characteristics reported concerning typical patterns and statistics. We manage to recover distinctive patterns such as the U-shape of traded volume and gamma distributed order book while introducing a price driving process forcing the price towards its fundamental value. Two such processes are compared and shown to successfully produce market data explaining price paths almost indistinguishable from paths generated by stochastic processes such as the geometric Brownian motion. The introduction of the price driving processes makes it possible to force specific volatility, drift or similar features in addition to effortless generation of market data for correlated stocks.

Place, publisher, year, edition, pages
2014.
Series
UMNAD, 982
National Category
Engineering and Technology
Identifiers
URN: urn:nbn:se:umu:diva-90049OAI: oai:DiVA.org:umu-90049DiVA: diva2:725821
External cooperation
Cinnober
Educational program
Master of Science Programme in Computing Science and Engineering
Supervisors
Examiners
Available from: 2014-06-17 Created: 2014-06-17 Last updated: 2014-06-17Bibliographically approved

Open Access in DiVA

fulltext(1696 kB)317 downloads
File information
File name FULLTEXT01.pdfFile size 1696 kBChecksum SHA-512
94435523576c6e33d6d97f3483569d38476a5754edf27c84938552aaf8bc6cfbbe6f7f87797be0788f681fe7f51cef745349a654ae777c82855e9caf2d9ec457
Type fulltextMimetype application/pdf

By organisation
Department of Computing Science
Engineering and Technology

Search outside of DiVA

GoogleGoogle Scholar
Total: 317 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

urn-nbn

Altmetric score

urn-nbn
Total: 483 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf