Market Modeling and Analysis with High Frequency Data

Magalhães, Eduardo Ferrari

Market Modeling and Analysis with High Frequency Data

dc.contributor.advisor	Silva, Raul Ikeda Gomes da
dc.contributor.author	Magalhães, Eduardo Ferrari
dc.coverage.spatial	São Paulo, SP	pt_BR
dc.creator	Magalhães, Eduardo Ferrari
dc.date.accessioned	2022-06-30T19:04:49Z
dc.date.available	2022-06-30T19:04:49Z
dc.date.issued	2019
dc.date.submitted	2019
dc.description.other	This article discusses how it is possible to use high frequency data to create trading models on São Paulo stock exchange. Through a pipeline of filter, signal and decision algorithm, several models for high frequency trading were tested and an interface for viewing the results was developed. At the end of the process it was found that with simple models it is difficult to make a profit in the market due to the high emoluments rates and income tax. Still high frequency data is interesting for developing models since it brings an investment perspective less explored in Brazil. In addition, with the development of the pipeline, a simulation program for high frequency data was created that allows the addition of new models and is capable of processing various data formats, returning results to the user in an interface created specifically for the project. This program could be used by students, to learn about this type of data and trading strategies, allowing, and encouraging, the user to create and test their own statistical models.	pt_BR
dc.identifier.uri	https://repositorio.insper.edu.br/handle/11224/3298
dc.language.iso	Inglês	pt_BR
dc.rights.uri	TODOS OS DOCUMENTOS DESSA COLEÇÃO PODEM SER ACESSADOS, MANTENDO-SE OS DIREITOS DOS AUTORES PELA CITAÇÃO DA ORIGEM	pt_BR
dc.subject	Backtesting, Stock Market, High Frequency Trading, Tick-by-Tick Data, Quantitative Finance.	pt_BR
dc.title	Market Modeling and Analysis with High Frequency Data	pt_BR
dc.type	report
dspace.entity.type	Publication
local.type	Relatório de Iniciação Científica	pt_BR