Search for dissertations about: "High-frequency trading"

Showing result 1 - 5 of 8 swedish dissertations containing the words High-frequency trading.

2. 1. Off-exchange Trading in Modern Equity Markets : A Market Microstructure Perspective on Systematic Internalizers

   Author : Fatemeh Aramian; Lars Nordén; Lu Liu; Bernt Arne Ødegaard; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; Systematic internalizers; Off-exchange trading; Equity markets; Price efficiency; Liquidity; Trading costs; High-frequency traders; Regulation; Dealers; Inventory management; företagsekonomi; Business Administration;

   Abstract : Off-exchange trading has become a feature of the equity markets. This dissertation contains three articles that examine how off-exchange trading through systematic internalizers (SIs) affects inter-market competition and various features of market quality.Article I studies SIs' characteristics and the impact of SI operations on price efficiency. READ MORE

4. 2. Essays on Market Design and Market Quality

   Author : Dong Zhang; Lars Nordén; Björn Hagströmer; Dagfinn Rime; Stockholms universitet; []
   Keywords : SAMHÄLLSVETENSKAP; SOCIAL SCIENCES; index futures market; underlying stock market; liquidity; volatility; gold futures market; price discovery; high frequency traders; aggressiveness; order submission; liquidity provider; adverse selection cost; företagsekonomi; Business Administration;

   Abstract : This dissertation contains four studies on different market structures and their impact on market quality.Article I studies the effect of introducing stock index futures contracts on the underlying stocks. The results indicate a lower liquidity level in the underlying stocks. READ MORE

5. 3. Modeling the covariance matrix of financial asset returns

   Author : Gustav Alfelt; Joanna Tyrcha; Taras Bodnar; Vasyl Golosnoy; Stockholms universitet; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Realized covariance; Autoregressive time-series; Goodness-of-fit test; Matrix singularity; Portfolio theory; Wishart distribution; Matrix-variate gamma distribution; Parameter estimation; High-dimensional data; Moore-Penrose inverse; matematisk statistik; Mathematical Statistics;

   Abstract : The covariance matrix of asset returns, which describes the fluctuation of asset prices, plays a crucial role in understanding and predicting financial markets and economic systems. In recent years, the concept of realized covariance measures has become a popular way to accurately estimate return covariance matrices using high-frequency data. READ MORE

6. 4. Generative models of limit order books

   Author : Hanna Hultin; Henrik Hult; Erik Lindström; KTH; []
   Keywords : NATURVETENSKAP; NATURAL SCIENCES; Matematik; Mathematics;

   Abstract : In this thesis generative models in machine learning are developed with the overall aim to improve methods for algorithmic trading on high-frequency electronic exchanges based on limit order books. The thesis consists of two papers. READ MORE

7. 5. Electrochemical Capacitors for Miniaturized Self-powered Systems

   Author : Qi Li; Chalmers tekniska högskola; []
   Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; NATURVETENSKAP; NATURAL SCIENCES; Electrolyte materials; Electrochemical capacitors; AC line filters; Energy storage; Miniaturized self-powered systems; Electrode materials;

   Abstract : Miniaturized self-powered systems with harvest-store-use architectures have been recognized as a key enabler to the internet-of-things (IoT), and further the internet-of-everything (IoE), 5G communication and tactile internet. Electrochemical capacitors (ECs), also known as supercapacitors, are promoted to be the energy storage component in such systems, because of their advantages such as an almost limitless cycle life that is ideal for the vision of “fit-and-forget” maintenance-free networks. READ MORE