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Forex Data Processing
Olejník, Tomáš ; Bartík, Vladimír (referee) ; Kreslíková, Jitka (advisor)
The master's thesis' objective is to study basics of high-frequency trading, especially trading at foreign exchange market. Project deals with foreign exchange data preprocessing, fundamentals of market data collecting, data storing and cleaning are discussed. Doing decisions based on poor quality data can lead into fatal consequences in money business therefore data cleaning is necessary. The thesis describes adaptive data cleaning algorithm which is able to adapt current market conditions. According to design a modular plug-in application for data collecting, storing and following cleaning has been implemented.
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Forex Data Processing
Olejník, Tomáš ; Bartík, Vladimír (referee) ; Kreslíková, Jitka (advisor)
The master's thesis' objective is to study basics of high-frequency trading, especially trading at foreign exchange market. Project deals with foreign exchange data preprocessing, fundamentals of market data collecting, data storing and cleaning are discussed. Doing decisions based on poor quality data can lead into fatal consequences in money business therefore data cleaning is necessary. The thesis describes adaptive data cleaning algorithm which is able to adapt current market conditions. According to design a modular plug-in application for data collecting, storing and following cleaning has been implemented.
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Modular Multiple Liquidity Source Price Streams Aggregator
Rozsnyó, Tomáš ; Masařík, Karel (referee) ; Kreslíková, Jitka (advisor)
This MSc Thesis was performed during a study stay at the Hochschule Furtwangen University, Furtwangen, Germany. This Master Project provides a theoretical background for understanding financial market principles. It focuses on foreign exchange market, where it gives a description of fundamentals and price analysis. Further, it covers principles of high-frequency trading including strategy, development and cost. FIX protocol is the financial market communication protocol and is discussed in detail. The core part of Master Project are sorting algorithms, these are covered on theoretical and practical level. Aggregator design includes implementation environment, specification and individual parts of aggregator application represented as objects. Implementation overview can be found in last Chapter.
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