Optimization importance in high-frequency algorithmic trading

Suvorin, Vadim; Sheludchenko, Dmytro

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Optimization importance in high-frequency algorithmic trading

Suvorin, Vadim

Mälardalen University, School of Education, Culture and Communication. (Matematik/tillämpad matematik)

Sheludchenko, Dmytro

Mälardalen University, School of Education, Culture and Communication. (Matematik/tillämpad matematik)

2012 (English)Independent thesis Advanced level (degree of Master (One Year)), 20 credits / 30 HE creditsStudent thesis

Abstract [en]

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. , p. 31

Keywords [en]

Trading strategies, algorithmic trading, optimization, futures, stock markets, high frequency trading

National Category

Mathematics Economics and Business

Identifiers

URN: urn:nbn:se:mdh:diva-14645OAI: oai:DiVA.org:mdh-14645DiVA, id: diva2:528567

Subject / course

Mathematics/Applied Mathematics

Presentation

2012-06-12, 13:00 (English)

Uppsok

Physics, Chemistry, Mathematics

Supervisors

Pettersson, Lars, Consulting Senior Lecturer

Examiners

Malyarenko, Anatoliy, Docent

Available from: 2013-01-17 Created: 2012-05-26 Last updated: 2013-01-17Bibliographically approved

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