Subject: Subject Sylbus: Algorithmic and High-Frequency Trading - 096291 (Current)

Algorithmic and High-Frequency Trading - 096291
Credit
Points
2.0
 
Given In
Semester
b
 
  Lecture Exercise Laboratory Project or
Seminar		 House
Work
Weekly
Hours		 2       2

Determination of the grade according to progress during the semester and the submission of the final thesis


Prerequisites: Foundations of Stochastic Processes 046868
or Stochastic Processes 106429
or Continuous Time Models in Finance 097510


Most of the Trades in Financial Markets Today Are Executed by Computerized Algorithms in a High-Frequency Framework. We Will Study Various Methods to Design Such Algorithms. Most of These Methods Originate in the Area of Stochastic Control, Including Variational and Dynamic Programing Methods. These Methods Will Be Used to Solve Models of Portfolio Liquidation and Market Making, Among Others. Students Will Be Able to: 1.Apply Variational and Dynamic Programing Methods to Solve Stochastic Control Problems That Arise from Algorithmic and High Frequency Trading. 2.Apply the Stochastic Control Methods in Order to Analyse Variations of the Models That Are Studied in the Course Such as Portfolio Liquidation and Market Making.


Timetable to semester 02/2020 2020/2021 Spring Semester
RoomBuildingHourdayLecturerExercise
Lecture		no.Registering
Group
  18:30-20:30WednesdayDoctor Neuman EyalLecture1010


Textbooks
PublishedPublisherAuthorsBook
2015cambridge university presslvaro cartea, sebastian jaimungal, jos lvaro cartea, sebastian jaimungal, josalgorithmic and high-frequency trading
2009springerh.phamcontinuous-time stochastic control and optimizatio applications

Created in 06/03/2021 Time 01:38:12