témavezető: Levendovszky János
helyszín (magyar oldal): Department of Networked Systems and Services helyszín rövidítés: HIT
A kutatási téma leírása:
Algorithmic trading has long been one of the principal components in financial markets . Recently there is increasing need for trading on tick data giving rise to High Freqency Trading. In the research, real-time methods for portfolio optimization (based on mean reverting and Levy models) and for trading are sought implemented by neural networks, Support Vector Machines.and other architectures. Parallel implementations on GPGPU architectures are also investigated with extensive speed profiling compared with CPU based implementation.
International and Industrial cooperation: Morgan Stanley .
előírt nyelvtudás: fluency in English ajánlott nyelvtudás (magyar oldal): Spanish további elvárások: basics of signal processing and of probability theory