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
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
1 - Continuous assessment
2 - Examination (3 hours and 10 minutes)
Scheduled and non-scheduled teaching activities
Applied sessions
Lectures
Workload requirements
Workload
Other unit costs
Costs are indicative and subject to change.
Miscellaneous items required (Printing, Stationery)- $100.