MTH5550 · Quantitative trading and market microstructure

Overview

Mathematical formulation of trading strategies; order book modelling; market Impact and optimal execution; efficient market hypothesis; the CAPM model; portfolio optimisation; optimal trading; correlation and covariance estimators; multivariate analysis; co-integration; micro-economy of derivatives pricing.

Offerings

Assessment

The Handbook lists an examination for this unit.

Assessment details may change. Please refer to the assessment information in Moodle closer to the start of the teaching period.

Requisites

The Handbook lists no prerequisite, corequisite or prohibition for this unit.

Learning outcomes

1. Develop specialised financial skills within the fields of statistics and probability theory.
2. Understand the complex connections between specialised financial and mathematical concepts.
3. Apply critical thinking to problems in statistics and probability that relate to financial markets.
4. Apply problem solving skills within the finance context.
5. Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of statistics and probability.
6. Communicate complex information in an accessible format to a non-mathematical audience.

Workload

• Two 1.5 -hour seminars; • One 1-hour applied class (in weeks 2-12) and • Eight hours of independent study per week.

Student experience, not official rules. Nothing here changes what the Handbook says.