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

2020W, VO, 2.0h, 3.0EC


  • 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




Examination modalities

oral exam

Course registration

Begin End Deregistration end
03.09.2020 00:00 11.10.2020 23:59 31.10.2020 23:59

Registration modalities

Anmeldung nur für etwaige LVA-Unterlagen notwendig.



No lecture notes are available.


if required in English