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105.688 AKFVM Limit order book and high frequency trading
This course is in all assigned curricula part of the STEOP.
This course is in at least 1 assigned curriculum part of the STEOP.

2021W, VO, 2.0h, 3.0EC
TUWEL

Properties

  • Semester hours: 2.0
  • Credits: 3.0
  • Type: VO Lecture
  • Format: Online

Learning outcomes

After successful completion of the course, students are able to...

  • describe the limit order book, and to discuss the stochastic heat equation for the volume dynamics
  • discuss volatility estimators for micro structure noise
  • apply machine learning techniques

Subject of course

  • limit order book
  • Hawkes processes and high frequency trading
  • partial stochastic differential equations
  • volatility estimators
  • Poisson point processes

Teaching methods

  • mathematical proofs
  • discussion of applied examples

Mode of examination

Oral

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Tue14:00 - 14:3005.10.2021 Zoom / siehe TUWEL (LIVE)Vorbesprechung
Tue13:00 - 14:3012.10.2021 - 25.01.2022 Zoom / siehe TUWEL (LIVE).
AKFVM Limit order book and high frequency trading - Single appointments
DayDateTimeLocationDescription
Tue05.10.202114:00 - 14:30 Zoom / siehe TUWELVorbesprechung
Tue12.10.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue19.10.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue09.11.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue16.11.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue23.11.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue30.11.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue07.12.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue14.12.202113:00 - 14:30 Zoom / siehe TUWEL.
Tue11.01.202213:00 - 14:30 Zoom / siehe TUWEL.
Tue18.01.202213:00 - 14:30 Zoom / siehe TUWEL.
Tue25.01.202213:00 - 14:30 Zoom / siehe TUWEL.

Examination modalities

oral exam

Course registration

Begin End Deregistration end
02.09.2021 00:00 10.10.2021 23:59 31.10.2021 00:59

Registration modalities

Anmeldung nur für etwaige LVA-Unterlagen notwendig.

Curricula

Study CodeObligationSemesterPrecon.Info
860 GW Optional Courses - Technical Mathematics Not specified
860 GW Optional Courses - Technical Mathematics Mandatory elective

Literature

No lecture notes are available.

Language

if required in English