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


  • 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



Course dates

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
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



No lecture notes are available.


if required in English