Friday, 18 March 2011

Week 3 Update

I organised regular Weekly meetings with my supervisors on Thursdays 5-6pm.

This week my supervisors encouraged me to read material by Hendershott as he is the best expert in Algorithmic Trading.

Also, we discussed the idea of trying to identify rules for algorithms that instigated responses in the market for the topic of my thesis. For example, predicting the volatility of the market based on how an algorithm is behaving at the moment. According to Andrew this is a major point of interest in Finance these days.

I also read the book "Option Theory with Stochastic Analysis" in order to learn about how to analyse data. This topic brought up the concept of Brownian Motion, Inverse Gaussian Aggregation and Logarithmic Returns to stocks.

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