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
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.