Algorithmic Trading: Implementing PVol in Discrete Time
Loading...
Date
Author
Institution
http://id.loc.gov/authorities/names/n79058482
Degree Level
Master's
Degree
Master of Science
Department
Department of Mathematical and Statistical Sciences
Specialization
Mathematical Finance
Supervisor / Co-Supervisor and Their Department(s)
Examining Committee Member(s) and Their Department(s)
Citation for Previous Publication
Link to Related Item
Abstract
This thesis considers PVol (Percentage of Volume) strategies, which are an often used type of algorithmic trading strategies. In a PVol strategy, the broker aims to bring the order execution speed in line with a percentage of the market volume. This target percentage and the total order size are typically given by the client. In a discrete-time setting, we analyze the optimization problem of minimizing the expected deviations between the realized portion of trading and the target percentage. Under different assumptions, we either solve the problem explicitly or implement a numerical solution in MATLAB.
Item Type
http://purl.org/coar/resource_type/c_46ec
Alternative
License
Other License Text / Link
This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
Language
en