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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.
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Statistical inference of the Modified Smith?s model
Rušin, Michal ; Šmíd, Martin (advisor) ; Hlubinka, Daniel (referee)
The present work discuss the continuous double auction mechanisms and the order book models. After a brief introduction to selected models, a general model of the the continuous double auction from the thesis title is described. Further, a structure of british market data is given as well as an approach to them. Based on these data the validity of Smith Farmer's model and Cont Stoikov's model is tested in the context of general model by linear regression. Finally, based on the previous results, the own order book model is suggested and its validity tested.
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Statistical inference of the Modified Smith?s model
Rušin, Michal ; Šmíd, Martin (advisor) ; Hlubinka, Daniel (referee)
The present work discuss the continuous double auction mechanisms and the order book models. After a brief introduction to selected models, a general model of the the continuous double auction from the thesis title is described. Further, a structure of british market data is given as well as an approach to them. Based on these data the validity of Smith Farmer's model and Cont Stoikov's model is tested in the context of general model by linear regression. Finally, based on the previous results, the own order book model is suggested and its validity tested.
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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.
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Statistical Characteristics of Forex Data
Novák, Vlastimil ; Bartík, Vladimír (referee) ; Kreslíková, Jitka (advisor)
The object of master's thesis is to introduce to the financial derivatives and principals of trading on financial markets. We describe the methods used to search for arbitrage opportunities through statistical indicators and statistical characteristics, which are an integral part of the automatized trading systems. Analysis of the financial market is based on data derived from the interbank market.
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