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Vzdrževanje likvidnosti kriptovalutnega trga v omrežju Ripple
ID BREZIGAR, JAKOB (Author), ID Šter, Branko (Mentor) More about this mentor... This link opens in a new window

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MD5: 15D2CA5A20F7CD29C89AD8CC43829737
PID: 20.500.12556/rul/7fc062d5-ea88-41b4-96af-823713cb23d5

Abstract
Vzdrževalec likvidnosti zagotavlja prodajalcem in kupcem finančnih inštrumentov nasprotno stranko pri sklepanju transakcij. Izvajanju nakupnega in prodajnega naročila hkrati pravimo vzdrževanje likvidnosti. Diplomsko delo obsega teoretično in praktično osnovo za izdelavo algoritma za samodejno vzdrževanje likvidnosti na enem izmed perspektivnih kriptovalutnih trgov Ripple. V diplomskem delu povzamemo teoretične osnove vzdrževanja likvidnosti, delovanje kriptovalutnega protokola Ripple in proces formiranja cene na trgu (mikrostruktura trga). Opišemo primer prediktivnega in neprediktivnega trgovalnega modela za vzdrževanje likvidnosti. Glavni izzivi obsegajo določanje nakupnega in prodajnega tečaja, problem neugodne izbire tečajev in reševanje uravnoteženosti zalog. Pridobimo podatke za simulacijo in podamo rezultate trgovanja za izbrane modele. Ugotovimo, da je izbrani prediktivni Dasov model bolj uspešen od neprediktivnega modela zaradi zmožnosti predvidevanja prave vrednosti tečaja. Predlagamo možne izboljšave in smernice za nadaljnji razvoj.

Language:Slovenian
Keywords:protokol Ripple, vzdrževalec likvidnosti, kriptovaluta, bitcoin, valutno trgovanje
Work type:Undergraduate thesis
Organization:FRI - Faculty of Computer and Information Science
Year:2016
PID:20.500.12556/RUL-91207 This link opens in a new window
Publication date in RUL:24.03.2017
Views:1790
Downloads:404
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Secondary language

Language:English
Title:Cryptocurrency market making in the Ripple network
Abstract:
Market maker provides counterparty for buyers and sellers of financial instruments in transaction settlement. Market makers quote the bid price and the ask price at the same time. This price setting process is called market making. This thesis covers theoretical and practical basis for implementation of autonomous market making algorithm for a promising cryptocurrency market called Ripple. We summarize market making theory, how Ripple cryptocurrency protocol works and how price formation process (market microstructure) takes place. We choose and describe predictive and non-predictive market making models. Main challenges are the setting of bid and ask price, adverse selection problem, maintenance of currency inventory balance. We collect data needed for the simulation and we provide trading results for the selected models. We conclude that predictive market making model of Das is more successful than non-predictive model due to the ability to predict the true market value. We suggest possible improvements and guidance for further development.

Keywords:Ripple protocol, market maker, liquidity provider, cryptocurrency, bitcoin, forex trading

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