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HJB Equation and Statistical Arbitrage applied to High Frequency Trading
| Title: | HJB Equation and Statistical Arbitrage applied to High Frequency Trading. |
 103 views 24 downloads |
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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 |
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| 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. |
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| 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 |
