Modeling price dynamics on electronic stock exchanges with applications in developing automated trading strategies

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dc.contributor.advisorRiedi, Rudolf H.en_US
dc.creatorGershman, Darrin Matthewen_US
dc.date.accessioned2012-05-01T19:38:19Zen_US
dc.date.available2012-05-01T19:38:19Zen_US
dc.date.issued2009en_US
dc.description.abstractThis thesis develops models for accurate prediction of price changes on electronic stock exchanges by utilizing autoregressive and logistic methods. Prices on these electronic stock exchanges, also called ECNs, are solely determined by where orders have been placed into the order book, unlike traditional stock exchanges where prices are determined by an expert market maker. Identifying the significant variables and formulating the models will provide critical insight into the dynamics of prices on ECNs. Whereas previous research has relied on simulated data to test market strategies, this analysis will utilize actual ECN data. The models recognize patterns of asymmetry and movement of the shares in the order book to formulate accurate probabilities for possible future price changes. On traditional stock exchanges, price changes could only occur as quickly as human beings could enact them. On ECNs, computerized systems place orders on behalf of traders based on their preferences, resulting in price changes that reflect trader activity almost instantaneously. The quickness of this automation on ECNs forces the re-evaluation of commonly held beliefs about stock price dynamics. Previous strategies developed for trading on ECNs have relied mainly on price fluctuations to gain profits. This thesis uses the formulated models to design profitable strategies that use accurate prediction rather than price variability.en_US
dc.format.extent211 pagesen_US
dc.format.mimetypeapplication/pdfen_US
dc.identifier.callnoTHESIS STAT. 2010 GERSHMANen_US
dc.identifier.citationGershman, Darrin Matthew. "Modeling price dynamics on electronic stock exchanges with applications in developing automated trading strategies." (2009) Diss., Rice University. <a href="https://hdl.handle.net/1911/64040">https://hdl.handle.net/1911/64040</a>.en_US
dc.identifier.urihttps://hdl.handle.net/1911/64040en_US
dc.language.isoengen_US
dc.rightsCopyright is held by the author, unless otherwise indicated. Permission to reuse, publish, or reproduce the work beyond the bounds of fair use or other exemptions to copyright law must be obtained from the copyright holder.en_US
dc.subjectApplied sciencesen_US
dc.subjectPure sciencesen_US
dc.subjectPriceen_US
dc.subjectElectronic stock exchangesen_US
dc.subjectAutomated tradingen_US
dc.subjectAccurate predictionen_US
dc.subjectOrdersen_US
dc.subjectApplied mathematicsen_US
dc.subjectStatisticsen_US
dc.titleModeling price dynamics on electronic stock exchanges with applications in developing automated trading strategiesen_US
dc.typeThesisen_US
dc.type.materialTexten_US
thesis.degree.departmentStatisticsen_US
thesis.degree.disciplineEngineeringen_US
thesis.degree.grantorRice Universityen_US
thesis.degree.levelDoctoralen_US
thesis.degree.nameDoctor of Philosophyen_US
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