Development of an Algorithmetic Trading System and its Empirical Studies by Applying VWAP Strategies in Taiwan Stock Market

• Main Authors: Yi-Ying Lin, 林依瑩
• Other Authors: Chieh-Yow ChiangLin
• Format: Others
• Language: zh-TW
• Published: 2010
• Online Access: http://ndltd.ncl.edu.tw/handle/94516470809728597287

碩士 === 國立高雄應用科技大學 === 金融資訊研究所 === 98 === Algorithmic trading has been used extensively in executing process of trading strategies. In this paper, two algorithmic trading systems have been developed. The first system is designed for executing various real-time orders automatically, including market order, limit order, stop order and market-if-touched order, etc. The second system is designed for sending large orders during designated time period by applying different algorithmic trading strategies, for example, VWAP (Volume Weighted Average Price) strategy. By using Unified Modeling Language (UML) as analysis and design tools, two systems are developed on Visual Studio .Net environment. In order to test the capability of the system, the performances of the VWAP strategy are tested empirically on the Taiwan Stocks Market.