|
|
Algorithmics to Support Decision-making in Financial Markets
Kvapil, Juraj ; Budík, Jan (referee) ; Dostál, Petr (advisor)
The diploma thesis is focused on area of algorithmic trading. The main focus in this thesis is aimed towards algorithmic solution to arbitrage trading scheme. This system can be categorized as a high frequency trading system that can trade almost risk free in case that ideal technical conditions are met. Model in this thesis is backtested on cryptocurrency Bitcoin, the reason for that is balance between asset liquidity and amount of opportunities that occur on markets for this trading model. System can be used as well on other instruments that have similar characteristics. The main use case for this tool is to provide real time information for trader about occurring opportunities. Used software core has also ability to place automated trading orders based on results of analysis.
|
|
|
Low-Latency Architecture for Order Book Building
Závodník, Tomáš ; Kořenek, Jan (referee) ; Dvořák, Milan (advisor)
Information technology forms an important part of the world and algorithmic trading has already become a common concept among traders. The High Frequency Trading (HFT) requires use of special hardware accelerators which are able to provide input response with sufficiently low latency. This master's thesis is focused on design and implementation of an architecture for order book building, which represents an essential part of HFT solutions targeted on financial exchanges. The goal is to use the FPGA technology to process information about an exchange's state with latency so low that the resulting solution is effectively usable in practice. The resulting architecture combines hardware and software in conjunction with fast lookup algorithms to achieve maximum performance without affecting the function or integrity of the order book.
|
|
|
High-Frequency Trading Using External DRAM
Nevrkla, Lukáš ; Kořenek, Jan (referee) ; Martínek, Tomáš (advisor)
The primary part of low-latency trading is a machine that can trade with lower latency than any other trader. Hardware-accelerated platforms can reduce trading latency down to hundreds of nanoseconds. This work focuses on a specific data structure (Order Book) inside this hardware platform that manages the current market price levels. The current implementation manages this data structure inside the software of the hosting machine, and only a few best price levels are inside the hardware. Synchronization between hardware and software has a latency in the order of microseconds. Therefore the best price levels are sometimes unavailable inside the hardware platform. This work presents a solution for managing this structure inside FPGA while saving its content inside the external dynamic memory. The new solution reduces the latency down to 150–200 nanoseconds with occasional (2 % cases) increase to 450–650 nanoseconds. Lower latency will help the trading platform react faster to larger stock market changes which are very important for traders.
|
|
|
High-frequency trading in capital markets from the perspective of recent legislation
Bergmann, Matěj ; Sejkora, Tomáš (advisor) ; Kotáb, Petr (referee)
77 High-frequency trading in capital markets from the perspective of recent legislation Abstract The rapid development of technology in recent decades has also had an impact on capital markets trading. In particular breakthroughs in information and communication technology and quantitative market modelling have had an impact. Today's markets have become essentially just electronic matching systems that allow traders to trade at previously unimaginable speeds and with reduced transaction costs. However, these technological advances have brought with them increased market fragmentation and the emergence of new ways of trading. These developments resulted in, among other things, algorithmic and then high-frequency trading. Both of these relatively young disciplines have brought with them their own set of specific impacts, both positive and negative, on capital markets, but it is high-frequency trading that has attracted the attention of both the lay and professional public, particularly in relation to its impact on the stability and fairness of capital markets. The goal of this paper is to describe both the technological and regulatory factors that have led to the development of high-frequency trading, to provide an insight into some of the strategies that are used by high-frequency traders, to describe some...
|
|
|
Algorithmics to Support Decision-making in Financial Markets
Kvapil, Juraj ; Budík, Jan (referee) ; Dostál, Petr (advisor)
The diploma thesis is focused on area of algorithmic trading. The main focus in this thesis is aimed towards algorithmic solution to arbitrage trading scheme. This system can be categorized as a high frequency trading system that can trade almost risk free in case that ideal technical conditions are met. Model in this thesis is backtested on cryptocurrency Bitcoin, the reason for that is balance between asset liquidity and amount of opportunities that occur on markets for this trading model. System can be used as well on other instruments that have similar characteristics. The main use case for this tool is to provide real time information for trader about occurring opportunities. Used software core has also ability to place automated trading orders based on results of analysis.
|
|
|
Low-Latency Architecture for Order Book Building
Závodník, Tomáš ; Kořenek, Jan (referee) ; Dvořák, Milan (advisor)
Information technology forms an important part of the world and algorithmic trading has already become a common concept among traders. The High Frequency Trading (HFT) requires use of special hardware accelerators which are able to provide input response with sufficiently low latency. This master's thesis is focused on design and implementation of an architecture for order book building, which represents an essential part of HFT solutions targeted on financial exchanges. The goal is to use the FPGA technology to process information about an exchange's state with latency so low that the resulting solution is effectively usable in practice. The resulting architecture combines hardware and software in conjunction with fast lookup algorithms to achieve maximum performance without affecting the function or integrity of the order book.
|
guest ::
