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

Learning outcomes

On successful completion of 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.

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.