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HJB Equation and Statistical Arbitrage applied to High Frequency Trading

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Date Issued:
2013
Abstract/Description:
In this thesis we investigate some properties of market making and statistical arbitrage applied to High Frequency Trading (HFT). Using the Hamilton-Jacobi-Bellman(HJB) model developed by Guilbaud, Fabien and Pham, Huyen in 2012, we studied how market making works to obtain optimal strategy during limit order and market order. Also we develop the best investment strategy through Moving Average, Exponential Moving Average, Relative Strength Index, Sharpe Ratio.
Title: HJB Equation and Statistical Arbitrage applied to High Frequency Trading.
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Name(s): Park, Yonggi, Author
Yong, Jiongmin, Committee Chair
Swanson, Jason, Committee Member
Richardson, Gary, Committee Member
Shuai, Zhisheng, Committee Member
, Committee Member
University of Central Florida, Degree Grantor
Type of Resource: text
Date Issued: 2013
Publisher: University of Central Florida
Language(s): English
Abstract/Description: In this thesis we investigate some properties of market making and statistical arbitrage applied to High Frequency Trading (HFT). Using the Hamilton-Jacobi-Bellman(HJB) model developed by Guilbaud, Fabien and Pham, Huyen in 2012, we studied how market making works to obtain optimal strategy during limit order and market order. Also we develop the best investment strategy through Moving Average, Exponential Moving Average, Relative Strength Index, Sharpe Ratio.
Identifier: CFE0004907 (IID), ucf:49628 (fedora)
Note(s): 2013-08-01
M.S.
Sciences, Mathematics
Masters
This record was generated from author submitted information.
Subject(s): Market Making -- Statistical Arbitrage -- High Frequency Trading -- HJB equation
Persistent Link to This Record: http://purl.flvc.org/ucf/fd/CFE0004907
Restrictions on Access: public 2013-08-15
Host Institution: UCF

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