Algorithmic Trading UG thesis ideas
Hey All,
I would like to ask for your help. I am going to write my bachelor's thesis (finance major) this spring, and I know that it will generally discuss algorithmic trading, yet I am not sure about the exact topic. Another constraint is that one must include either quant/qual. research in the thesis in some form, so please, if you have any ideas on where to start, feel free to share.
Thank you for your help.
The impact of latency 'speed bumps' on the market e.g. On liquidity, bid-ask spread, volume traded etc.
Good intro to algos and market structure - Algorithmic Trading & DMA: An Introduction to Direct Access Trading Strategies By Barry Johnson
I think algorithmic trading is a rather hard subject to pick for an undergrad paper solely because of data availability. If you wanted to measure the effect of say, the introduction of HFTs or market latency to the profitability of different firms, none of the time-series data you need for that will be available. If you wanted to discuss more of the automated execution side of automated trading (which can be backtested with access to intraday data or with a market microstructure simulator), or just do a literature review on some aspect of the subject; I’d think you’d find the paper much easier to complete. Just my 2 cents.
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