Bank of America Algorithmic Trading Analysis
Bank of America
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.
Worcester Polytechnic Institute
Major Qualifying Project
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