Tid: 16 november 2009 kl 15.15-16.00

Plats : Seminarierummet 3733, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Anna Bergfast

Titel: Automated Trading using a Dip Searching Strategy (Examensarbete – Master thesis)

Abstract

The purpose of this thesis is to create algorithmic trading strategies based on the idea that the OMXS30 index will behave in a certain way like a dip in the market. These strategies are created because one wants to find a way of making profit on the OMXS30 index. To build the strategies, a thorough study of the index has been made, and then different statistical methods are used when designing the strategies. All of the four strategies generate a profit when they were tested, the net results are different for each strategy.

The conclusions drawn in this thesis are that there are many ways of creating algorithmic strategies, but when using a strategy which becomes active after a dip, there is potential profit to be made.

The full report (pdf)

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