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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.
1

Order Matching Optimization : Developing and Evaluating Algorithms for Efficient Order Matching and Transaction Minimization

Jonsson, Victor, Steen, Adam January 2023 (has links)
This report aimed to develop algorithms for solving the optimization problem of matchingbuy and sell orders in call auctions while minimizing the number of transactions. The developed algorithms were evaluated based on their execution time and solution accuracy.The study found that the problem was more difficult to solve than initially anticipated, and commercial solvers were inadequate for the task. The data’s characteristics werecritical to the algorithms’ performance, and the lack of specifications for instruments andexchange posed a challenge. The algorithms were tested on a broad range of datasets with different characteristics, as well as real trades of stocks from the Stockholm Stock Exchange. Evaluating the best-performing algorithm became a trade-off between time and accuracy, where the quickest algorithm did not have the highest solution accuracy. Therefore, the importance of these factors should be considered before deciding which algorithm to implement. Eight algorithms were evaluated: four greedy algorithms and four clusteralgorithms capable of identifying 2-1 and 3-1 matches. If execution time is the single most crucial factor, the Unsorted Greedy Algorithm should be considered. However, if accuracyi s a priority, the Cluster 3-1 & 1-3 Algorithm should be considered, even though it takes longer to find a solution. Ultimately, the report concluded that while no single algorithm can be definitively la-beled as the best, the Cluster 2-1 Algorithm strikes the most effective balance between execution time and solution accuracy, while also remaining relatively stable in perfor-mance for all test cases. The recommendation was based on the fact that the Cluster 2-1 Algorithm proved to be the quickest of the developed cluster algorithms, and that cluster algorithms were able to find the best solutions for all tested data sets. This study successfully addressed its purpose by developing eight algorithms that solved the given problem and suggested an appropriate algorithm that strikes a balance between execution time and solution quality.

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