第一个书签之前
详细摘要
Abstract
Contents
Chapter1 Introduction
1.1 Background
1.1.1 Background on High Frequency Trading (HFT)
1.1.2Background on Finnish Stock Market and HFT in Finland
1.2 Research Purpose and Scientific Contribution
1.2.1 Research Questions
1.2.2 The Reason of News Sentiment Incorporation in HFT strategies
1.2.3 How to evaluate News Sentiment Integration
1.2.4 Outline of Research
1.3 Literature Review
1.3.1 Literatures on Speed And HFT
1.3.2 Literatures on HFT Strategies and Financial Market
1.3.3 Literatures on HFT Effects in Equity Market
1.3.4 Literatures on Incorporating news in Real-time trading
1.4 Main Research Contents of This Subject
Chapter 2 Theoritical Framework
2.1 HFTAT And Real Time Trading Model
2.1.1 Evidence Based Research on HFT Trading Development
2.2 Hypothesis to Be Tested
2.3 HFTs Strategies
2.3.1 Liquidity Provision or Market Making Strategy
2.3.2 Market Microstructure Trading`Strategy
2.3.3 Event TradingStrategy
2.3.4 Statistical Arbitrage TradingStrategy
2.4 Brief Summary
Chapter 3 Data and Research Methods
3.1 Introduction of Data And Data Analysis
3.2 Econometric Model
3.2.1 ARMA Model
3.2.2 Constant Mean Model
3.3Methods And Methodology
3.3.1. Basic Return Characteristics
3.3.2. Comparative Ratios
3.3.3. Performance Attribution
3.3.4. Other Forms of Strategy Evaluation
3.3.5 Non Parametric Rank Tests
3.4 Brief Summary
Chapter 4 Order Imbalance and Limit Order Book Activities
4.1 Limit Order Book (LOB) Activities
4.2 Order Fragmentation Statistics
4.3 Basic Lob Activities Of The Selected Stocks
4.3.1 Nokia
4.3.2 Nordea
4.3.3 Stora Enso:
4.3.4 Metso
4.3.5 Nokian Tyres (Nokian Renkaat):
4.3.6 Outokumpu
4.3 Discussion
4.4 Brief Summary
Chapter 5 Hft Strategies and the Respective Holding Periods of the Strategies
5.1 Market Making Strategy
5.1.1 Empirical Findings
5.2 Market Microstructure Strategy
5.2.1 Empirical Findings
5.3 Statistical Arbitrage Strategy
5.3.1 Empirical Findings
5.4 Brief Summary
Chapter 6 Alpha Testing the Event Trading Strategy in High Frequency Trading
6.1 Introduction
6.2 Statistical Tests
6.2.1 Generalizability
6.2.2Abnormal Returns Around The Event Study
6.2.3Reaction of the HEX
6.2.4 The Duration of the Impact
6.2.5Robustness Test
6.3 Supply Chain Resilience
6.3.1Transforming Trading Structure
6.3.2Trading Approach And Cloud Structure
6.4 Brief Summary
Conclusions
References
Appendix 1
Appendix 2
Published Papers
Statement of copyright and Letter of authorization
Acknowledgement
Resume
