The Mathematical Institute, University of Oxford, Eprints Archive

Order Imbalance Based Strategy in High Frequency Trading

Shen, Darryl (2015) Order Imbalance Based Strategy in High Frequency Trading. Masters thesis, oxford university.

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Abstract

This thesis aims to investigate the performance of an order imbalance based trading strategy in a high frequency setting. We first analyze the statistical properties of order imbalance and investigate its capabilities as a trading strategy motivated by ideas introduced in [4, 7, 11]. We try to understand how the strategy performs on different futures contracts and its relationship with trading volume. Finally, we attempt to improve the trading strategy by including other imbalance-based signals, adjusting for bid-ask spread, and optimizing the model and trading parameters.

Item Type:Thesis (Masters)
Subjects:H - N > Mathematics education
Research Groups:Mathematical and Computational Finance Group
ID Code:1895
Deposited By: Laura Auger
Deposited On:08 Sep 2015 06:37
Last Modified:08 Sep 2015 06:37

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