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 2021 in Semester 1 at Clayton. It has no prerequisites.
- Credit points
- 6
- Offered in 2021
- Semester 1
- Clayton
- Assessment
- Exam 60%
- and 1 other task
This is the 2021 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 2021 handbook.
Enrolment rules
COREQUISITE: Only students enrolled in the Master of Financial Mathematics and the Master of 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 2021
| Teaching period | Campus | Mode |
|---|---|---|
| First semester | Clayton | On campus |
Assessment
- Continuous assessmentOther40%
- Examination (3 hours and 10 minutes)ExamThreshold hurdle60%
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
- Applied sessions11 hours
- Lectures36 hours
- Two 1.5-hour lectures
- 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 2021, MTH5550 runs in Semester 1 at Clayton.
Does MTH5550 have an exam?
Yes. The exam is worth 60% of the final mark, alongside 1 other task.