Keywords
Market making, statistical arbitrage, high frequency trading, hjb equation
Abstract
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.
Notes
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Graduation Date
2013
Semester
Summer
Advisor
Yong, Jiongmin
Degree
Master of Science (M.S.)
College
College of Sciences
Department
Mathematics
Degree Program
Mathematical Science; Industrial Mathematics
Format
application/pdf
Identifier
CFE0004907
URL
http://purl.fcla.edu/fcla/etd/CFE0004907
Language
English
Release Date
August 2013
Length of Campus-only Access
None
Access Status
Masters Thesis (Open Access)
Subjects
Dissertations, Academic -- Sciences, Sciences -- Dissertations, Academic
STARS Citation
Park, Yonggi, "Hjb Equation And Statistical Arbitrage Applied To High Frequency Trading" (2013). Electronic Theses and Dissertations. 2674.
https://stars.library.ucf.edu/etd/2674