Current Search:  HJB equation (x)

View All Items

  • CSV Spreadsheet
(1 - 2 of 2)
HJB Equation and Statistical Arbitrage applied to High Frequency Trading
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
PRICE DISCOVERY IN THE U.S. BOND MARKETS: TRADING STRATEGIES AND THE COST OF LIQUIDITY
Title
PRICE DISCOVERY IN THE U.S. BOND MARKETS: TRADING STRATEGIES AND THE COST OF LIQUIDITY.
Creator
Shao, Haimei, Yong, Jiongmin, University of Central Florida
Abstract / Description
The world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading...
Show moreThe world bond market is nearly twice as large as the equity market. The goal of this dissertation is to study the dynamics of bond price. Among the liquidity risk, interest rate risk and default risk, this dissertation will focus on the liquidity risk and trading strategy. Under the mathematical frame of stochastic control, we model price setting in U.S. bond markets where dealers have multiple instruments to smooth inventory imbalances. The difficulty in obtaining the optimal trading strategy is that the optimal strategy and value function depend on each other, and the corresponding HJB equation is nonlinear. To solve this problem, we derived an approximate optimal explicit trading strategy. The result shows that this trading strategy is better than the benchmark central symmetric trading strategy.
Show less
Date Issued
2011
Identifier
CFE0003633, ucf:48858
Format
Document (PDF)
PURL
http://purl.flvc.org/ucf/fd/CFE0003633