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Thesis

Mathematical problems in algorithmic trading and financial regulation

Abstract:

We study algorithmic trading strategies in order driven markets. We make three contributions to the literature. One, we show how a market maker employs information about the momentum in the price of the asset to design liquidity provision strategies. The momentum in the midprice of the asset depends on the arrival of liquidity taking orders and the arrival of news. Buy market orders (MOs) exert a short-lived upward pressure on the midprice and sell MOs exert a downward pressure of the price. ...

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Division:
MPLS
Department:
Mathematical Institute
Oxford college:
Somerville College
Role:
Author

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Role:
Supervisor
Type of award:
DPhil
Level of award:
Doctoral
Awarding institution:
University of Oxford
Language:
English
Subjects:

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