Wednesday, 28 September 2011

Week 9 Update

Finished off the dark pool simulations and granger causality testing results. However needed to redo the granger causality results in order to account for endogeneity problems. First thought was to do generalized method of moments however Sanjay prefered machine learning techniques as these were less archaic.

Friday, 9 September 2011

Week 6 and 7 Semester 2

conducted dark pool simulations to find the optimal algorithm for dark pool allocations. This was done on Matlab