Tid: 30 juni 2011 kl 11.15-12.00. (Observera dagen och tiden)

Föredragshållare: Fredrik Henrikson

Titel: Characteristics of High-Frequency Trading (Examensarbete - Master thesis)

Abstract In this thesis we investigate some properties that have been suggested in the literature to be characteristic of High-Frequency Trading (HFT). These properties are examined on a data set consisting of 28 days of tick market data from the Swedish exchange Burgundy. A statistical analysis of the properties is conducted to determine if they seem to be correlated with one another.

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