MTH5550 Quantitative trading and market microstructure
Faculty of Science
MTH5550 Quantitative trading and market microstructure is a level 5, 6-credit-point, postgraduate unit from the Faculty of Science, offered in 2020 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2020
- Semester 1
- Clayton
This is the 2020 handbook entry. See the 2027 entry.
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Requisites
Before MTH5550
No prerequisites or corequisites besides the enrolment rules below.
After MTH5550
No unit lists MTH5550 as a prerequisite in the 2020 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit coordinator.
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 in 2020
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
| First semester (Fully flex) | Clayton | Flexible |
Learning outcomes
When you finish this unit, you should be able to:
- 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 and teaching
Two 1.5-hour lectures and one 1-hour applied class per week
Contacts
- Chief Examiners
- Dr Hassan Fallahgoul
- Unit Coordinators
- Dr Hassan Fallahgoul
Common questions
What are the prerequisites for MTH5550?
MTH5550 has no prerequisites, but enrolment rules apply.
When is MTH5550 offered?
In 2020, MTH5550 runs in Semester 1 at Clayton.