The PhD dissertation research topics aim at developing algorithmic trading strategies and demonstrating data analysis skills. To be a... Show moreThe PhD dissertation research topics aim at developing algorithmic trading strategies and demonstrating data analysis skills. To be a quantitative analyst as well as an academic scholar in financial trading area, these two professional backgrounds are indispensable. In detail, chapter 1 shows multi-objective optimization and spontaneous optimization of design variables. For instance, while conventional trading systems explore a single objective function, multi-objective optimization allows us to manage the essential trade-off among profit, standard deviation and maximum-drop. In addition, design parameters such as trading volume, the amount of historical data, and trading gateways of technical indicators are continuously optimized in real time. In chapter 2, this chapter shows an algorithmic trading system with the concept of machine learning, and demonstrating its various applications. The main purpose of this research is to propose objective numerical development framework in algorithmic trading. Chapter 3 pursues understanding liquidity measures which are critical for algorithmic traders and investors. Various liquidity measures have been suggested and they have different sensitivities to the market. This research analyzes liquidity measures and clarifies the relation between market price return & realized volatility and liquidity measures. In sum, with these three chapters, this dissertation will demonstrate necessary research topics in algorithmic trading. Ph.D. in Management Science, July 2015 Show less
