Quantitative trading and market microstructure

MTH5550

Synopsis

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.

Sourced from the Monash Handbook 2026.

Quick facts

Credit points: 6
Level: 5
Audience: Postgraduate
Type: Coursework
School: Faculty of Science
Faculty: School of Mathematics
Handbook year: 2026

Prerequisites

No prereqs in the handbook graph.

What it unlocks

Nothing in the visible graph depends on this unit.

Offerings (1)

First semesterClayton · ON-CAMPUS