Reference no: EM133109182 , Length: word count:2500
7FNCE025W High Frequency Trading - University of Westminster
An HFT Trading Model
The context
In this module you have studied a range of trading techniques using High Frequency Data. We have studied how the characteristics of the underlying data series' change as sampling frequency is increased. We have studied various trading models leveraging these phenomenon.
Your task is to construct and critically discuss the performance of a High Frequency Trading (HFT) model as follows:
Design and implement your own model in one of three ways:
1) Reproduce a model examined in the module
2) Expand a model examined in the module to incorporate different signals, or different timing, etc.
3) Create a proprietary model based upon concepts explored in this module
You must provide full supporting justification for each model with appropriate references to the literature. Provide a critical analysis of your model, identifying all assumptions - are there any failure points? Collect and construct a primary dataset to drive your model and BE CRTICAL about data. The validity and reliability of the data must be addressed in your writeup. Compare the forecasting efficiency of your model against the asset you are trading.
A complete submission will consist of
1) A report in MS Word not to exceed 2,500 words, +/- 10%,
2) A dataset in Excel, used to calibrate and drive the chosen model
3) Data analytics in Excel implementing the chosen model, as well as supporting descriptive statistics
Aim
Selection and justification of shares for your HFT model.
Selection of and justification of an HFT model.
Critical analysis and documentation of any assumptions in your selected HFT model.
Construction of a primary dataset. Selection or calculation of secondary factors. Validity & reliability of data.
Documented performance of your HFT model. Calculation of performance at three trading opportunities. Critical analysis of success / failure of each i.e, why did it succeed or fail?
Structure, presentation, referencing, adherence to file naming convention.
Attachment:- High Frequency Trading.rar
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