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Algorithmic Trading: Implementing PVol in Discrete Time

  • Author / Creator
    Yang, Zhuolin
  • This thesis considers PVol (Percentage of Volume) strategies, which are an often used type of algorithmic trading strategies. In a PVol strategy, the broker aims to bring the order execution speed in line with a percentage of the market volume. This target percentage and the total order size are typically given by the client. In a discrete-time setting, we analyze the optimization problem of minimizing the expected deviations between the realized portion of trading and the target percentage. Under different assumptions, we either solve the problem explicitly or implement a numerical solution in MATLAB.

  • Subjects / Keywords
  • Graduation date
    2013-11
  • Type of Item
    Thesis
  • Degree
    Master of Science
  • DOI
    https://doi.org/10.7939/R3D795K22
  • License
    This thesis is made available by the University of Alberta Libraries with permission of the copyright owner solely for non-commercial purposes. This thesis, or any portion thereof, may not otherwise be copied or reproduced without the written consent of the copyright owner, except to the extent permitted by Canadian copyright law.
  • Language
    English
  • Institution
    University of Alberta
  • Degree level
    Master's
  • Department
    • Department of Mathematical and Statistical Sciences
  • Specialization
    • Mathematical Finance
  • Supervisor / co-supervisor and their department(s)
    • Frei, Christoph (Mathematical and Statistical Sciences)
  • Examining committee members and their departments
    • Cadenillas, Abel (Mathematical and Statistical Sciences)
    • Schmuland, Byron (Mathematical and Statistical Sciences)
    • Frei, Christoph (Mathematical and Statistical Sciences)
    • Choulli, Tahir (Mathematical and Statistical Sciences)
    • Melnikov, Alexander (Mathematical and Statistical Sciences)