Vis enkel innførsel

dc.contributor.authorEiesland, Erik
dc.date.accessioned2011-08-22T11:47:26Z
dc.date.available2011-08-22T11:47:26Z
dc.date.issued2011-08-22T11:47:26Z
dc.identifier.urihttp://hdl.handle.net/11250/148030
dc.description.abstractIn this paper a system for testing stock market trading strategies involving limit orders are discussed. The system, which consists of an order book simulator and a component for collecting data, is implemented using free and readily available intra-day order book data and trade logs. A order book simulator is a requirement for being able to test trading strategies without the need for a fill model that can probabilistically tell if a given limit order would be filled in the course of the day the order is issued. The main functionality of this order book simulator is to determine when hypothetical orders had been executed, had they been issued to the given order book. This is done by merging these hypothetical orders with real historical dataen_US
dc.language.isoengen_US
dc.subjectstock marketen_US
dc.subjectalgorithmic tradingen_US
dc.subjectsimulationen_US
dc.subjectorder booken_US
dc.titleSimulating the order book: a tool to discover trading strategiesen_US
dc.typeMaster thesisen_US
dc.source.pagenumber124en_US


Tilhørende fil(er)

Thumbnail

Denne innførselen finnes i følgende samling(er)

Vis enkel innførsel