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Modeling price dynamics on electronic stock exchanges with applications in developing automated trading strategies
This thesis develops models for accurate prediction of price changes on electronic stock exchanges by utilizing autoregressive and logistic methods. Prices on these electronic stock exchanges, also called ECNs, are solely ...
Ritz values and Arnoldi convergence for non-Hermitian matrices
This thesis develops ways of localizing the Ritz values of non-Hermitian matrices. The restarted Arnoldi method with exact shifts, useful for determining a few desired eigenvalues of a matrix, employs Ritz values to refine ...