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1、DevelopingHigh-FrequencyEquitiesTradingModelsByByLeandroRafaelInfantinoSavionItzhakiB.Sc.IndustrialEngineeringB.Sc.ElectricalEngineering/B.A.PhysicsInstitutoTechnologicoDeBuenosAiresTechnion-IsraelInstituteof(ITBA),2004Technology,2006SUBMITTEDTOTHEMITSLOANSCHOOLOFMANAGEMENTINPARTIALFULFILLMENTO
2、FTHEREQUIREMENTSFORTHEDEGREEOFARCHIVESMASTEROFBUSINESSADMINISTRATIONMASSACHUSETTSINSITuTEATTHEOF1ECHNOLOGYMASSACHUSETTSINSTITUTEOFTECHNOLOGYN082010June,2010LIERARIES?2010LeandroR.InfantinoandSavionItzhaki.Allrightsreserved.TheauthorherebygrantstoMITpermissiontoreproduceandtodistributepubliclypa
3、perandelectroniccopiesofthisthesisdocumentinwholeorinpartinanymediumnowknownorcreated..,ereafterSignatureofAuthor:LeandroR.InfantinoMITSloanSchoolofManagementMay7,2010,r)/7,/SignatureofAuthor:SavionItzhakiMITSloanSchoolofManagementMay7,2010Certifiedby:RoyE.WelschProfessorofStatisticsandManageme
4、ntScienceandEngineeringSystemsThesisAdvisorAcceptedby:DebbieBerechmanExecutiveDirector,MBAProgramMITSloanSchoolofManagementDevelopingHigh-FrequencyEquitiesTradingModelsByLeandroRafaelInfantinoandSavionItzhakiSubmittedtotheMITSloanSchoolofManagementonMay7,2010inPartialFulfillmentoftheRequirement
5、sfortheDegreeofMasterofBusinessAdministrationAbstractThepurposeofthispaperistoshowevidencethatthereareopportunitiestogeneratealphainthehighfrequencyenvironmentoftheUSequitymarket,usingPrincipalComponentAnalysis(PCAhereafter)asabasisforshorttermvaluationandmarketmovementsprediction.Thetimeframeo
6、ftradesandholdingperiodsweareanalyzingoscillatebetweenonesecondtoashighas5minutesapproximately.Weparticularlybelievethatthistimespaceoffersopportunitiestogeneratealpha,giventhatmostoftheknownquantitativetradingstrategiesareimplementedintwodifferenttypesoftimeframes:eitheronthestatisticalarbitra
7、getypicaltypeoftimeframes(withvaluationhorizonsandtradingperiodsintheorderofdaysorweekstomaybeevenmonths),orinthepurelyhighfrequencyenvironment(withtimeframesontheorderofthemilliseconds).Onthelatterstrategies,thereisreallynotmuchi
