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DOI: 10.5445/IR/1000021543

Theoretical and Practical Aspects of Algorithmic Trading

Fränkle, Jan

Abstract:
At today's stock markets, most of the trading volume is traded
electronically. Thus, also many market participants execute their
order flow automatically with the help of trading algorithms. Hence,
several important aspects concerning algorithmic trading are
discussed. One of the main topics of the current work is the
measurement and the analysis of the market impact of transactions
performed by a trading algorithm. Another main topic is a model
to predict the intraday trading volume.


Zugehörige Institution(en) am KIT Institut für Wirtschaftstheorie und Statistik (ETS)
Publikationstyp Hochschulschrift
Jahr 2010
Sprache Englisch
Identifikator URN: urn:nbn:de:swb:90-215438
KITopen-ID: 1000021543
Verlag Karlsruhe
Abschlussart Dissertation
Fakultät Fakultät für Wirtschaftswissenschaften (WIWI)
Institut Institut für Wirtschaftstheorie und Statistik (ETS)
Prüfungsdaten 07.12.2010
Referent/Betreuer Prof. S. Rachev
Schlagworte algorithmic trading, market microstructure, execution strategy, trading volume
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