Current Search: Park, Yonggi (x)
-
-
Title
-
HJB Equation and Statistical Arbitrage applied to High Frequency Trading.
-
Creator
-
Park, Yonggi, Yong, Jiongmin, Swanson, Jason, Richardson, Gary, Shuai, Zhisheng, University of Central Florida
-
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.
-
Date Issued
-
2013
-
Identifier
-
CFE0004907, ucf:49628
-
Format
-
Document (PDF)
-
PURL
-
http://purl.flvc.org/ucf/fd/CFE0004907
