| In high frequency finance,market events data which we called signals or “news sentiments” of market,when used in real-time streaming business like in high frequency trading(HFT),could be very well-paying indeed.Stock traders therefore assess news trends,capture the public mood in a particular company or industry,and find that emotions coupled with trading activity and trends over time have successfully established a link between real-time information and stock earnings,however,in Finnish high-frequency trading company,it is not perceptible,it is only in the start-up phase.To hit this need,this research analyses how an event based trading strategy,can enrich news tone as value drive to get lofty profit.We get quantitative evidence for alpha testing the event trading strategy in HFT firms in Finland.A unique data set,provided by the Helsinki stock exchange(HSE),enables the author to distinguish between the trades executed by HFTs using different trading strategies.Strategies are the technical approach to search for profit from events based speculations.This thesis revisits these topics in a novel way and first of all uncovers distinctive characteristics of high frequency trading in Helsinki stock exchange and then evaluates performance capacity of high frequency trading strategies,based on comparative ratios and market inefficiency at helsinki stock exchangeto conclude business redesign through event trading perspective.Here we find better prediction by the incorporation of news on returns that proposed event trading strategy has significant effects on Finnish stock.This thesis contributes to the con temporarily embarked,upgrading form of practicalpaperwork on the take of news events in high economic science.This thesis takes one month high frequency limit order and tick data from NASDAQ OMX Nordic and select six mostly traded Finnish stocks based on their limit order book activities.For empirical research we select the mentioned six stocks possessingdistinctive HFT characteristics for event trading in Helsinki stock exchange.We commence our analysis by first examining the limit order book of selected stock as a sampleto find the hints and feasibility of event trading in Finnish stock.Our statistical tests expect continuous emergence of events in global markets within hours to sways visible impact in price in either directions.If non-HFTs and HFTs are chasing one type strategy at a given time,then Sharp ratio calculates a meaningful aspect in understanding the shuck and jive of HFT and non-HFT.Incorporating news in real time trading using event trading strategies has probabilities to generate remarkable returns.Remarkably high P-value shows excess return via event trading.The obtained negative value of CVARs and VARs interpret that at this juncture is a good possibility of earnings in favor of general level event trading traders.Conditional Va R(CVAR)and VAR,is the expected loss(EL),benchmarks the typical rate of earning inside the cut-off tail.Helsinki Stock Exchange(HEX)reacts in real time to both positive and negative news events is indicated clearly by Kolari and Pynnonen non parametric rank tests.Interpretation of cumulative impact of news events at the beginning and end of trading days of selected six stocks takes in to consideration the homogeneous time period of data selection.During the end of HEX trading session,selected six stocks demonstrate momentous upshot of the announcements,where positive news brings impressive abnormal returns after news releases.This makes clear that the reaction towards news announcements by HFT investors is quite impressive.Cumulative abnormal returns,afterpositive and negative event announcements;are momentous also at least in the last 45 minutes before the end of the trading session each day.This validates our intension of news affects stock sway in a diminutive horizon in Finnish stock exchange.This validates our research.A specialised version of cloud trading system is then architected afterdiscovering and exploring the feasibility of HFT in event-based trading in the Finnish stock market so that afresh get going HFT firms who are speculatingwhat tact to exercise with what holding period and not capable to get microsecond favours of news feed earlier than their adversaries;can practice thisdiscipline and the proposed cloud trading architect for alpha generation.Using Kolari and Pynnonennonparametric rank tests in the frameworkof event study methodology,we determine when investors on the HSE react to newinformation.This approach makes it possible to assess the strength,direction andduration of the impact of macroeconomic data announcements.The methodologies applied in the research are consistent with Aldrige,Litzenberger and Brogaard.The proposed model is in consistent with Easley,Kiefer,O'Hara,and Paperman model. |
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