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Finance & Management
Hourly Rate: Not Sure   |  Duration: Not Sure  |  Posted: May 18, 2015  |  Ends: 10d, 20h  |   0 Proposals
The arrival of macroeconomic news from the world's largest economies brings additional volatilityto the market. Overall methodology ?Sources of data: ? macro-economic news database ?Historical trading tick data from (Froex Broker or tick Data Interface) ?Technology ? QuantOffice/QuantServer software???? ?TimeBase ?QuantOffice ?Strategy Trading Server (used for simulated real-time deployment) ?Major steps of the research: ?Creation of initial setup ?Analysis of news database ( all source of Economic calendars, Bloomberg, etc.) ?Analysis of intraday distribution of macro-economic news ?Investigation of main hypothesis that macro-economic news increases short-term volatility ?Creation and backtesting of simple breakout strategy with opening signals triggered by news Parameters of setup ?RP Data from 2005 to current: ?Data clollects from all sources million messages how effects the market ?Used subset of macro-economic news for US (287,000 records), Germany (7,800), EU (3,700) and Ja...
Category: Financial Reporting       

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