This week my goal is to see if I can analyse the data provided to me by Andrew Lepone and gain some useful insight into Algorithmic Trading in the ASX.
I wrote a script on Matlab to analyse a weeks worth of Data pertaining to the stock with the symbol AAC.
What I was trying to do was discover the number of algorithms that were involved in the trading of stocks every 5 minutes from the beginning to the end of the trading day for the entire week of 30 Oct 2006 and 3 Nov 2006.
I graphed the results and found a peak in algorithmic trading at the beginning and in the middle of the day.
I am trying to analyse all other stocks for the same week in the same way as I analysed AAC, to see if AAC follows the norm or whether it is different.