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Comparison of continuous and frequent batch auctions
Gottlieb, Oskar ; Šmíd, Martin (advisor) ; Červinka, Michal (referee)
We simulate a fragmented market and study three types of agents and their interactions in continuous trading and frequent-batch auctions. We model the markets using the agent-based modeling approach. There are two exchanges on which one asset is being traded by zero-intelligence (ZI) traders, market makers and a latency arbitrageur. The former two agents are marked as slow traders, the arbitrageur is a fast trader - fast trader has perfect information about the market, slow traders are dependent on the (possibly lagged) NBBO information provided by the regulator. Our main metric is the surplus of ZI traders, we also measure other market's characteristics. We then simulate the market for different delays of the NBBO delay and we find that under certain conditions and until certain length, the batch auctions are beneficial to ZI traders, as they reduce the advantage and therefore the profit of the fast trader.
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Comparison of continuous and frequent batch auctions
Gottlieb, Oskar ; Šmíd, Martin (advisor) ; Červinka, Michal (referee)
We simulate a fragmented market and study three types of agents and their interactions in continuous trading and frequent-batch auctions. We model the markets using the agent-based modeling approach. There are two exchanges on which one asset is being traded by zero-intelligence (ZI) traders, market makers and a latency arbitrageur. The former two agents are marked as slow traders, the arbitrageur is a fast trader - fast trader has perfect information about the market, slow traders are dependent on the (possibly lagged) NBBO information provided by the regulator. Our main metric is the surplus of ZI traders, we also measure other market's characteristics. We then simulate the market for different delays of the NBBO delay and we find that under certain conditions and until certain length, the batch auctions are beneficial to ZI traders, as they reduce the advantage and therefore the profit of the fast trader.
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Strategies for Spread Trading using Futures Contracts
Gottlieb, Oskar ; Krištoufek, Ladislav (advisor) ; Čech, František (referee)
The focus of this thesis are futures spreads, more specifically trading strategies based on two approaches - cointegration tested on inter-commodity spreads and seasonality observed amongst calendar spreads. Commodity pairs which we identify to be cointegrated are tested for four mean reversion strategies, three of them being based on fair value approach, the fourth on the relative value approach. Similarly calendar spreads exhibiting seasonality are optimized for naive buy and hold trading strategies. Both approaches are tested on in-sample and out-of-sample data. Amongst seasonal strategies we have not found a pattern yielding sufficiently profitable signals in both in-sample and out-of-sample periods. Inter-commodity spreads on the other returned profitable strategies on cointegrated spreads which were also similar in physical nature. The exception to that rule were spreads known well in the industry, which failed to deliver positive results in the out-of-sample period.
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