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

Restricted to the UCF community until August 2013; it will then be open access.

Included in

Mathematics Commons

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