Title

Bank of America Algorithmic Trading Analysis

Faculty Advisor

Gerstenfeld, Arthur

Center

Wall Street

Abstract

The Algorithmic Trading Analysis project focused on analysis of daily trading data for Banc of America Securities. The purpose of this MQP was to examine executions on each one of the venues that the firm is connected to in order to help the firm increase execution hit rates and control daily trading volume spikes. Concurrently, the MQP team monitored the performance of a new algorithm, called the Dark Algo. The success of the reporting and analysis spurred the development of an automated excel report. This tool was presented to the Algorithmic Trading group, allowing the group's members to observe executions patterns even after the end of the MQP project.

Publisher

Worcester Polytechnic Institute

Date Accepted

January 2009

Major

Management

Major

Industrial Engineering

Project Type

Major Qualifying Project

Accessibility

Unrestricted

Advisor Department

Business

Project Center

Wall Street

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