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Fall 2013
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...
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Spring 2017
For many investors, such as mutual fund managers, the closing price of a stock is an important benchmark. The closing price for stocks traded at NASDAQ is determined through an auction, like at many other stock exchanges. Each day and for each stock traded at NASDAQ, the intertemporal order...