Please use this identifier to cite or link to this item:
https://open.uns.ac.rs/handle/123456789/28060
DC Field | Value | Language |
---|---|---|
dc.contributor.advisor | Krejić Nataša | - |
dc.contributor.author | Kumaresan Miles | - |
dc.contributor.other | Lužanin Zorana | - |
dc.contributor.other | Krejić Nataša | - |
dc.contributor.other | Nedeljkov Marko | - |
dc.contributor.other | Urošević Branko | - |
dc.date.accessioned | 2020-12-13T22:47:36Z | - |
dc.date.available | 2020-12-13T22:47:36Z | - |
dc.date.issued | 2010-11-26 | - |
dc.identifier.uri | https://open.uns.ac.rs/handle/123456789/28060 | - |
dc.description.abstract | <p>Algorithmic Trading is the automated process of trading exogenous<br />orders in electronic (stock) exchanges.The primary objective in execution<br />of orders is to achieve the most ecient price. We propose two optimal<br />strategies for the execution of atomic orders based on minimization of impact<br />and volatility costs, in both single and multiple market environments.<br />The rst considered strategy is based on a relatively simple nonlinear optimization<br />model while the second allows re-optimization at some time point<br />within a given execution time. Finally, we consider how the model that allows<br />re-optimization perform in a multiple trading venue environment. In all<br />cases, a combination of market and limit orders are used. The key innovation<br />in our approach is the introduction of a Fill Probability function which<br />allows a combination of market and limit orders in the four optimization<br />models we are discussing in this thesis. Under certain conditions the objective<br />functions of all considered problems are convex and therefore standard<br />optimization tools can be applied. The eciency of the resulting strategies<br />is tested against two benchmarks representing common market practice on a<br />representative sample of real trading data.</p> | en |
dc.description.abstract | <p> Algoritamsko trgovanje je automatizovani proces izvršavanja naloga<br /> na elektronskim berzama (berzama akcija). Osnovni cilj u izvršenju je postizanje<br /> najefikasnije cene. Ovde su predložene dve optimalne strategije za<br /> izvršenje atomskih naloga zasnovane na minimizaciji troškova impakta i volatilnosti u slučaju jednog tržišta i više tržišta. Prva posmatrana strategija je<br /> zasnovana na relativno jednostavnom nelinearnom optimizacionom modelu,<br /> dok druga dozvoljava reoptimizaciju u nekom trenutku unutar zadatog vremenskog intervala izvršenja. Konačno, posmatran je model koji dozvoljava<br /> reoptimizaciju u okruženju sa više tržišta. U svim slučajevima koristi se<br /> kombinacija market i limit naloga. Glavna inovacija u našem pristupu je<br /> uvodjenje Fill Probability funkcije koja omogućava kombinaciju market i<br /> limit naloga u sva četiri modela diskutovana u ovoj tezi. Pod određenim<br /> uslovima funkcije cilja svih posmatranih problema su konveksne te se mogu<br /> primeniti standardni metodi optimizacije. Efikasnost predloženih strategija<br /> je testirana u odnosu na dve reprezentativne strategije, koje predstavljaju<br /> uobičajenu praksu, na realnom uzorku podataka sa tržišta.</p> | sr |
dc.format.mimetype | application/pdf | - |
dc.language.iso | en | - |
dc.publisher | Univerzitet u Novom Sadu, Prirodno-matematički fakultet u Novom Sadu | sr |
dc.publisher | University of Novi Sad, Faculty of Sciences at Novi Sad | en |
dc.source | CRIS UNS | - |
dc.source.uri | http://cris.uns.ac.rs | - |
dc.subject | nonlinear programming, convex programming, optimal execution strategy, multiple trading venues, algorithmic trading | en |
dc.subject | nelinearno programiranje, konveksno programiranje, optimalna strategija izvršenja, više tržišta, algoritamsko trgovanje | sr |
dc.title | Optimization of Conditional Trajectories in a Market Place of Multiple Liquidity Pools | en |
dc.title | Optimizacija uslovnih trajektorija trgovanja na više tržišta sa različitim likvidnošću | sr |
dc.type | Thesis | en |
dc.identifier.url | https://www.cris.uns.ac.rs/record.jsf?recordId=82036&source=BEOPEN&language=en | en |
dc.identifier.externalcrisreference | (BISIS)82036 | - |
dc.source.institution | Prirodno-matematički fakultet u Novom Sadu | sr |
item.fulltext | No Fulltext | - |
item.grantfulltext | none | - |
Appears in Collections: | PMF Teze/Theses |
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