105.673 AKOEK/AKFVM Selected topics in econometrics, finance and insurance
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2019W, SE, 2.0h, 3.0EC


  • Semester hours: 2.0
  • Credits: 3.0
  • Type: SE Seminar

Learning outcomes

After successful completion of the course, students are able to work through a concrete scientific text in econometrics and/or financial and actuarial mathematics and to present the corresponding content in an understandle kind of manner.

Subject of course

Limit Order Books


Teaching methods

Presentations of the participants

Mode of examination


Additional information



Course dates

Wed14:00 - 16:0002.10.2019 - 29.01.2020Sem.R. DA grün 06B .
Wed14:00 - 16:0008.01.2020Sem.R. DB gelb 09 Schifted.
AKOEK/AKFVM Selected topics in econometrics, finance and insurance - Single appointments
Wed02.10.201914:00 - 16:00Sem.R. DA grün 06B Vorbesprechung
Wed09.10.201914:00 - 16:00Sem.R. DA grün 06B .
Wed16.10.201914:00 - 16:00Sem.R. DA grün 06B .
Wed23.10.201914:00 - 16:00Sem.R. DA grün 06B Alexander Petrov: Empirical properties of order-driven markets
Wed30.10.201914:00 - 16:00Sem.R. DA grün 06B .
Wed06.11.201914:00 - 16:00Sem.R. DA grün 06B Martin Kucher: Empirical properties of high-frequency data
Wed13.11.201914:00 - 16:00Sem.R. DA grün 06B Minja Petrovic: Financial point processes
Wed20.11.201914:00 - 16:00Sem.R. DA grün 06B Matthias Widman: Univariate multiplicative error models
Wed04.12.201914:00 - 16:00Sem.R. DA grün 06B Daniel Neuditschko: Modelling high-frequency volatility
Wed11.12.201914:00 - 16:00Sem.R. DA grün 06B Cancelled.
Wed18.12.201914:00 - 16:00Sem.R. DA grün 06B Daniel Wimmer: The order book as a queueing system
Wed08.01.202014:00 - 16:00Sem.R. DB gelb 09 Schifted.
Wed15.01.202014:00 - 16:00Sem.R. DA grün 06B Shifted.
Wed22.01.202014:00 - 16:00Sem.R. DA grün 06B Thomas Wagenhofer: Advanced modelling of limit order books
Wed29.01.202014:00 - 16:00Sem.R. DA grün 06B Antonija Brkic: Agent-based modelling / Zero intelligence models

Examination modalities

Presentation and summary

Course registration

Begin End Deregistration end
02.10.2019 00:00 09.10.2019 23:59 09.10.2019 23:59

Registration modalities:

At the preliminary meeting (2.10.2019).



Frédéric Abergel, Marouane Anane, Anirban Chakraborti, Aymen Jedidi, and Ioane Muni Toke, Limit Order Books.
Cambridge University Press, Cambridge, 2016.

Nikolaus Hautsch,
Econometrics of financial high-frequency data.
Springer, Heidelberg, 2012.


  • Attendance Required!


if required in English