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

S1-01-CLAYTON-ON-CAMPUS
S1-FF-CLAYTON-FLEXIBLE

Rules

Enrolment Rule

Contacts

Chief Examiner(s)

Dr Hassan Fallahgoul

Unit Coordinator(s)

Dr Hassan Fallahgoul

Assessment summary

Examination (3 hours and 10 minutes): 60% (Hurdle)

Continuous assessment: 40%

Hurdle requirement: If you would otherwise have passed the unit but who do not achieve at least 45% of the marks available for the end-of-semester examination will receive a Hurdle Fail (NH) grade and a mark of 45 on your transcript.

Workload requirements

Workload

Other unit costs

Costs are indicative and subject to change.
Miscellaneous items required (Printing, Stationery)- $100.