Monday, 29 August 2011

Week 5 Semester 2

This week I met with Sanjay and he suggested adding a norm squared term to the Liquidity Algorithmic-Trading Frequency regression model to reduce the overfitting in the model.

Also, he asked me to start conducting the dark pool simulation. In the dark pool simulation I will be simulating dark pools using a Poisson Distribution and I will have a Person class that will conduct a multi armed bandit algorithm in order to optimize allocation across dark pools in the minimal time.

Monday, 22 August 2011

Week 4, Semester 2

This week I finished up the Granger Causality Tests on the 20 stocks from the ASX. Unfortunately we could not conclude that the proportion of algorithmic traders granger causes liquidity changes.

Also, I finished writing up the chapter on Cointegration, Granger Causality and Spurious Regression.

Now I will just show the results to Sanjay and then move on to conducting dark pool simulation experiments.

Saturday, 6 August 2011

Week 2, Semester 2

Currently I am writing the chapter on cointegration, granger causality test and spurious regression.

Also, I am doing experiments on stocks to test for causation relationship between algorithmic trading frequency and liquidity.