Market making, statistical arbitrage, high frequency trading, hjb equation
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.
If this is your thesis or dissertation, and want to learn how to access it or for more information about readership statistics, contact us at STARS@ucf.edu
Master of Science (M.S.)
College of Sciences
Mathematical Science; Industrial Mathematics
Length of Campus-only Access
Masters Thesis (Open Access)
Dissertations, Academic -- Sciences, Sciences -- Dissertations, Academic
Park, Yonggi, "Hjb Equation And Statistical Arbitrage Applied To High Frequency Trading" (2013). Electronic Theses and Dissertations. 2674.