Theoretical and Practical Aspects of Algorithmic Trading
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.
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 | Fakultät für Wirtschaftswissenschaften – Institut für Wirtschaftstheorie und Statistik (ETS) |
| Publikationstyp | Hochschulschrift |
| Publikationsjahr | 2010 |
| Sprache | Englisch |
| Identifikator | urn:nbn:de:swb:90-215438 KITopen-ID: 1000021543 |
| Verlag | Karlsruher Institut für Technologie (KIT) |
| Art der Arbeit | Dissertation |
| Fakultät | Fakultät für Wirtschaftswissenschaften (WIWI) |
| Institut | Fakultät für Wirtschaftswissenschaften – Institut für Wirtschaftstheorie und Statistik (ETS) |
| Prüfungsdaten | 07.12.2010 |
| Schlagwörter | algorithmic trading, market microstructure, execution strategy, trading volume |
| Referent/Betreuer | Rachev, S. |