Application of econometric methods in algorithmic trading
| Thesis title: | Aplikace ekonometrických metod v algoritmickém obchodování |
|---|---|
| Author: | Radil, Martin |
| Thesis type: | Bakalářská práce |
| Supervisor: | Neugebauer, Jakub |
| Opponents: | Hruška, Jakub |
| Thesis language: | Česky |
| Abstract: | Tato práce se zabývá vývojem funkčního obchodovacího algoritmu za pomoci ekonometrických modelů v pythonu, jeho propojení na burzu a následné porovnání efektivnosti oproti indexu Dow Jones Industrial Average. |
| Keywords: | backtesting; hybridní ARIMA-GARCH model; GARCH; High frequency trading; DJIA; bull market; API; ARIMA; bear market |
| Thesis title: | Application of econometric methods in algorithmic trading |
|---|---|
| Author: | Radil, Martin |
| Thesis type: | Bachelor thesis |
| Supervisor: | Neugebauer, Jakub |
| Opponents: | Hruška, Jakub |
| Thesis language: | Česky |
| Abstract: | This work focuses on the development of a functional trading algorithm with use of econometric models in python, its connection to the stock exchange, and subsequent comparison of its effectiveness against the Dow Jones Industrial Average index. |
| Keywords: | ARIMA; GARCH; Backtesting; Hybrid model ARIMA-GARCH; API; High frequency trading; DJIA; Bull market; Bear market |
Information about study
| Study programme: | Matematické metody v ekonomii/Ekonometrie a operační výzkum |
|---|---|
| Type of study programme: | Bakalářský studijní program |
| Assigned degree: | Bc. |
| Institutions assigning academic degree: | Vysoká škola ekonomická v Praze |
| Faculty: | Faculty of Informatics and Statistics |
| Department: | Department of Econometrics |
Information on submission and defense
| Date of assignment: | 7. 2. 2024 |
|---|---|
| Date of submission: | 27. 6. 2024 |
| Date of defense: | 22. 8. 2024 |
| Identifier in the InSIS system: | https://insis.vse.cz/zp/87397/podrobnosti |