Search for dissertations about: "algorithmic trading"

Showing result 1 - 5 of 6 swedish dissertations containing the words algorithmic trading.

  2. 1. Efficient Trading in the Short-term Electricity Markets for Integration of Renewable Energy Sources : Multistage Stochastic and Agent-based Modeling Approaches for Continuous Intraday Electricity Market

    Author : Priyanka Shinde; Mikael Amelin; Lennart Söder; Nikolaos Paterakis; KTH; []
    Keywords : TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; TEKNIK OCH TEKNOLOGIER; ENGINEERING AND TECHNOLOGY; Continuous intraday electricity market; Virtual power plant; Trading strategy; Stochastic dual dynamic program; Agent-based modeling; Adaptive learning; Renewable energy sources; Cross-border intraday trading; Flow-based market coupling; Balancing market; Imbalance settlement cost; Randomized progressive hedging; Multistage stochastic programming; Energy storage; Intraday prices; Intraday price analysis; Time series analysis; Kontinuerliga intradagmarknaden; Virtuellt kraftverk; Handelsstrategi; Stokastisk dual dynamisk programmering; Agentbaserad modellering; Adaptivt l¨arande; F¨ornybara energik¨allor; Gr¨ans¨overskridande intradaghandel; Fl¨odesbaserad marknadskoppling; Balansmarknaden; Balansavr¨akningskostnader; Randomiserad progressive hedging; Stokastisk multiskedesprogrammering; Energilagring; Intradagpriser; Intradagprisanalys; Tidsserieanalys; Electrical Engineering; Elektro- och systemteknik;

    Abstract : This thesis investigates the role of different short-term electricity market design aspects that can facilitate better coordination of resources within the power system. The work also emphasizes on better cross-border integration of the short-term markets to improve the market liquidity, competition, social welfare, and flexibility in the system, which is essential for facilitating the integration of renewable sources. READ MORE

  4. 2. Reactive Concurrent Data Structures and Algorithms for Synchronization

    Author : Phuong Ha; Chalmers tekniska högskola; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; non-blocking; reactive; multi-word atomic primitives; online algorithms; shared memory; concurrent data structures; distributed data structures; randomization; online financial problems; synchronization; spin-locks;

    Abstract : Parallelism plays a significant role in high-performance computing systems, from large clusters of computers to chip-multithreading (CMT) processors. Performance of the parallel systems comes not only from concurrently runningmore processing hardware but also from utilizing the hardware efficiently. READ MORE

  5. 3. Gated Bayesian Networks

    Author : Marcus Bendtsen; Jose M. Peña; Nahid Shahmehri; Helge Langseth; Linköpings universitet; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; NATURVETENSKAP; NATURAL SCIENCES;

    Abstract : Bayesian networks have grown to become a dominant type of model within the domain of probabilistic graphical models. Not only do they empower users with a graphical means for describing the relationships among random variables, but they also allow for (potentially) fewer parameters to estimate, and enable more efficient inference. 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. Approximation and Calibration of Stochastic Processes in Finance

    Author : Jonas Kiessling; Anders Szepessy; Jonathan Goodman; KTH; []
    Keywords : NATURVETENSKAP; NATURAL SCIENCES; MATHEMATICS; MATEMATIK;

    Abstract : This thesis is a study of approximation and calibration of stochastic processes with applications in finance. It consists of an introduction and four research papers. The introduction is as an overview of the role of mathematics incertain areas of finance. READ MORE