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    Permutation approach, high frequency trading and variety of micro patterns in financial time series

    , Article Physica A: Statistical Mechanics and its Applications ; Vol. 413, issue , 2014 , pp. 25-30 ; ISSN: 03784371 Aghamohammadi, C ; Ebrahimian, M ; Tahmooresi H ; Sharif University of Technology
    Abstract
    Permutation approach is suggested as a method to investigate financial time series in micro scales. The method is used to see how high frequency trading in recent years has affected the micro patterns which may be seen in financial time series. Tick to tick exchange rates are considered as examples. It is seen that variety of patterns evolve through time; and that the scale over which the target markets have no dominant patterns, have decreased steadily over time with the emergence of higher frequency trading  

    Performance Evaluation of Market-Making Methods in the Iranian Stock Market

    , M.Sc. Thesis Sharif University of Technology Mousavi Kejani, Masoud (Author) ; Talebian, Masoud (Supervisor) ; Heidari, Mahdi (Supervisor)
    Abstract
    Market making is a fundamental trading topic in which an agent creates liquidity in an asset by offering to buy and sell on that security. The challenging problem in market-making is related to inventory risk, which may cause the accumulation of unfavorable positions at the end of the market and create losses. Algorithms are designed for making trades to choose the buying and selling prices and the number of orders by predicting the price to minimize the amount of security in the market maker’s portfolio. In this paper, first, we examine the different market-making algorithms and evaluate their performance in the financial markets of Iran. Then, a model using the reinforcement learning...