Market making model analysis in high frequency trading for the North American stock market

Detalhes bibliográficos
Autor(a) principal: Martinez Vargas, Daniela Fernanda
Data de Publicação: 2023
Tipo de documento: Dissertação
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/10071/29808
Resumo: This work wants to test a market making model on a High Frequency Trading for different stocks, using a code or algorithm that help us to understand the behavior of the model with different variables as latency, number of simulations during the day, risk aversion coefficient, and margin. This is accomplished by using fictional bid and ask prices, to create the different orders that will make possible this simulation.
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spelling Market making model analysis in high frequency trading for the North American stock marketAlgorithm tradingPythonHigh frequency tradingMarket-making modelElectronic marketsBid and ask pricesEMATrading de alta frequênciaModelo de criação de mercadoMercados electrónicosPreços de compra e vendaThis work wants to test a market making model on a High Frequency Trading for different stocks, using a code or algorithm that help us to understand the behavior of the model with different variables as latency, number of simulations during the day, risk aversion coefficient, and margin. This is accomplished by using fictional bid and ask prices, to create the different orders that will make possible this simulation.Este trabalho pretende testar um modelo de market making num High Frequency Trading para diferentes acções, utilizando um código ou algoritmo que ajude-nos a compreender o comportamento do modelo com diferentes variáveis como a latência, o número de simulações durante o dia, o coeficiente de aversão ao risco e a margem. Isto é conseguido utilizando preços de compra e venda fictícios, para criar as diferentes ordens que tornarão possível esta simulação.2023-11-27T16:31:18Z2023-10-30T00:00:00Z2023-10-302023-10info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10071/29808TID:203401328engMartinez Vargas, Daniela Fernandainfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-17T01:17:30Zoai:repositorio.iscte-iul.pt:10071/29808Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:40:40.426740Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Market making model analysis in high frequency trading for the North American stock market
title Market making model analysis in high frequency trading for the North American stock market
spellingShingle Market making model analysis in high frequency trading for the North American stock market
Martinez Vargas, Daniela Fernanda
Algorithm trading
Python
High frequency trading
Market-making model
Electronic markets
Bid and ask prices
EMA
Trading de alta frequência
Modelo de criação de mercado
Mercados electrónicos
Preços de compra e venda
title_short Market making model analysis in high frequency trading for the North American stock market
title_full Market making model analysis in high frequency trading for the North American stock market
title_fullStr Market making model analysis in high frequency trading for the North American stock market
title_full_unstemmed Market making model analysis in high frequency trading for the North American stock market
title_sort Market making model analysis in high frequency trading for the North American stock market
author Martinez Vargas, Daniela Fernanda
author_facet Martinez Vargas, Daniela Fernanda
author_role author
dc.contributor.author.fl_str_mv Martinez Vargas, Daniela Fernanda
dc.subject.por.fl_str_mv Algorithm trading
Python
High frequency trading
Market-making model
Electronic markets
Bid and ask prices
EMA
Trading de alta frequência
Modelo de criação de mercado
Mercados electrónicos
Preços de compra e venda
topic Algorithm trading
Python
High frequency trading
Market-making model
Electronic markets
Bid and ask prices
EMA
Trading de alta frequência
Modelo de criação de mercado
Mercados electrónicos
Preços de compra e venda
description This work wants to test a market making model on a High Frequency Trading for different stocks, using a code or algorithm that help us to understand the behavior of the model with different variables as latency, number of simulations during the day, risk aversion coefficient, and margin. This is accomplished by using fictional bid and ask prices, to create the different orders that will make possible this simulation.
publishDate 2023
dc.date.none.fl_str_mv 2023-11-27T16:31:18Z
2023-10-30T00:00:00Z
2023-10-30
2023-10
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/masterThesis
format masterThesis
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://hdl.handle.net/10071/29808
TID:203401328
url http://hdl.handle.net/10071/29808
identifier_str_mv TID:203401328
dc.language.iso.fl_str_mv eng
language eng
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
repository.mail.fl_str_mv
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