Week: 20-24th June 2011 (Semester 1: EXAM WEEK 2)

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.


On Thursday:

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.

On Friday:

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.

Week 13 Update

Gave Sanjay Chawla a first draft of my literature review to read over.

week 12 Update

Working on literature review as well as trying to download the data to a server where there is enough space to fit it. This is problematic since the data is 55GB-which is quite big.

Got a hard drive for storing the 55GB of data and started performing MATLAB experiments on it.

Had trouble opening the csv file containing the data at the beginning, however, after much surfing of the net, I found a csv file splitter at this URL: http://www.fxfisherman.com/forums/forex-metatrader/tools-utilities/75-csv-splitter-divide-large-csv-files.html#post727.

This split the csv file into over 7000 csv files which were easier to open.

Week 11 Update

Acquired data from Andrew Lepone to conduct data mining experiments on from the ASX for the last 3 years, minute by minute

Week 10 Update

Working on my literature review, and project progress report.

Week 9

I am reading the following article:

"Optimal Allocation Stratergies for The Dark Pool Problem"by Agarwal et al. and preparing my literature review for Week 13.

Week 8 & Mid Sem Break Update

For these two weeks I was just finding and reading more articles, some of which are useful  some of which are not-although they provide general background knowledge for my thesis.

This is in preparation for the literature review due in week 13.

It was hard these last few weeks because my external supervisors went on work related international travels so there was no one to guide me or explain things to me where i was lost-was pretty much making my own way.

Will talk to Sanjay when he gets back in week 9 though.