Week 10 Update

Writing up the chapter 3 of my treatise and stringing together all the different parts.

Mid Semester Break

did svm machine learning classification of liquidity rise or fall in the next period based on information about liquidity and algorithmic trading frequency in the past periods. The results are inconclusive as yet. Also I did research on the Kaplan Meier Estimator and its relevance to the dark pool problem.

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.

Week 6 and 7 Semester 2

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

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.

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.

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.