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.