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Title: Investigating Price Action and Price Distribution in E-mini Dow Futures Using Aggregated Order Flows of Four Different Types of Market Participants
Authors: Zalmover, Alik
Advisors: Carmona, Rene
Department: Operations Research and Financial Engineering
Certificate Program: Applications of Computing Program
Class Year: 2022
Abstract: With the financial markets becoming more efficient and trading becoming more widely available to all types of market participants, each type of market participant can influence securities’ prices differently with their trading capabilities and information at hand. Using E-mini Dow Jones Futures ($5) trade data from Chicago Mercantile Exchange (CME) Group’s Liquidity Data Bank (LDB), this thesis will examine four different market participant groups' trading behavior, intraday and interday positions, profit and loss, and impact on price action. This thesis aims to show how the price distributions of each CTI's trading behavior differ before, during, and after the release of FOMC announcements and Gross Domestic Product reports. Finally, I will show how each CTI impacts the price of E-mini Dow Jones Futures using volume, price, intraday positions, and interday position changes.
Type of Material: Princeton University Senior Theses
Language: en
Appears in Collections:Operations Research and Financial Engineering, 2000-2022

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