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Optimization importance in high-frequency algorithmic trading
Mälardalen University, School of Education, Culture and Communication. (Matematik/tillämpad matematik)
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. , 31 p.
Keyword [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: diva2:528567
Subject / course
Mathematics/Applied Mathematics
Presentation
2012-06-12, 13:00 (English)
Uppsok
Physics, Chemistry, Mathematics
Supervisors
Examiners
Available from: 2013-01-17 Created: 2012-05-26 Last updated: 2013-01-17Bibliographically approved

Open Access in DiVA

fulltext(4493 kB)347 downloads
File information
File name FULLTEXT01.pdfFile size 4493 kBChecksum SHA-512
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Type fulltextMimetype application/pdf

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Suvorin, VadimSheludchenko, Dmytro
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Total: 347 downloads
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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