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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.
2024S
2021W
2020W
2019W
2018W
2016W
2019W, VO, 2.0h, 3.0EC
Properties
Semester hours: 2.0
Credits: 3.0
Type: VO Lecture
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
Rheinländer, Thorsten
Institute
E105 Institute of Statistics and Mathematical Methods in Economics
Examination modalities
oral exam
Course registration
Not necessary
Curricula
Study Code
Obligation
Semester
Precon.
Info
860 GW Optional Courses - Technical Mathematics
Mandatory elective
Literature
No lecture notes are available.
Language
if required in English