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.