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.

2018W, VO, 2.0h, 3.0EC

Properties

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

Aim of course

Fundamental topics regarding limit order books and high frequency trading.

Subject of course

Description of different forms of trading in the limit order book (dark pools, iceberg trading), aspects of high frequency trading, flash crashes and the role of high frequency traders, modelling of the order arrival process via compound Poisson and Hawkes processes, different price concepts and their modern modelling, volatility estimation in the ultra high frequency domain, dimensions of liquidity (bid-ask spread, market depth, resiliency), local time, limit order book models, classification of trading times, SPDE for the order book volum

Lecturers

Institute

Course dates

DayTimeDateLocationDescription
Wed14:00 - 16:0010.10.2018 - 30.01.2019Sem.R. DA grün 04 .
Fri16:00 - 17:3011.01.2019Sem.R. DA grün 06A Ersatztermin (statt. 9. Jan.)
AKFVM Limit order book and high frequency trading - Single appointments
DayDateTimeLocationDescription
Wed10.10.201814:00 - 16:00Sem.R. DA grün 04 .
Wed17.10.201814:00 - 16:00Sem.R. DA grün 04 .
Wed24.10.201814:00 - 16:00Sem.R. DA grün 04 .
Wed31.10.201814:00 - 16:00Sem.R. DA grün 04 .
Wed07.11.201814:00 - 16:00Sem.R. DA grün 04 .
Wed14.11.201814:00 - 16:00Sem.R. DA grün 04 .
Wed21.11.201814:00 - 16:00Sem.R. DA grün 04 .
Wed28.11.201814:00 - 16:00Sem.R. DA grün 04 .
Wed05.12.201814:00 - 16:00Sem.R. DA grün 04 .
Wed12.12.201814:00 - 16:00Sem.R. DA grün 04 .
Wed19.12.201814:00 - 16:00Sem.R. DA grün 04 .
Fri11.01.201916:00 - 17:30Sem.R. DA grün 06A Ersatztermin (statt. 9. Jan.)
Wed16.01.201914:00 - 16:00Sem.R. DA grün 04 .
Wed23.01.201914:00 - 16:00Sem.R. DA grün 04 .
Wed30.01.201914:00 - 16:00Sem.R. DA grün 04 .

Course registration

Not necessary

Curricula

Literature

No lecture notes are available.

Language

if required in English