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.

2025S, VO, 2.0h, 3.0EC

Properties

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

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
Tue11:00 - 13:0004.03.2025 - 24.06.2025Sem.R. DB gelb 04 .
AKFVM Limit order book and high frequency trading - Single appointments
DayDateTimeLocationDescription
Tue04.03.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue11.03.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue18.03.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue25.03.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue01.04.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue08.04.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue29.04.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue06.05.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue13.05.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue20.05.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue27.05.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue03.06.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue17.06.202511:00 - 13:00Sem.R. DB gelb 04 .
Tue24.06.202511:00 - 13:00Sem.R. DB gelb 04 .

Examination modalities

oral exam

Course registration

Begin End Deregistration end
01.01.2025 00:00 31.03.2025 23:59 31.03.2025 23:59

Registration modalities

Anmeldung nur für etwaige LVA-Unterlagen

Curricula

Study CodeObligationSemesterPrecon.Info
860 GW Optional Courses - Technical Mathematics Mandatory elective

Literature

No lecture notes are available.

Language

if required in English