units
MTH5550
Faculty of Science
This unit entry is for students who completed this unit in 2016 only. For students planning to study the unit, please refer to the unit indexes in the the current edition of the Handbook. If you have any queries contact the managing faculty for your course or area of study.
Refer to the specific census and withdrawal dates for the semester(s) in which this unit is offered.
Faculty
Organisational Unit
School of Mathematical Sciences
Coordinator(s)
Offered
Efficient market hypothesis. Extreme events. Volatility clustering. Poisson process. Hawke's process. Correlation estimators. Hayashi-Yoshida estimator. Lead-lag. Market impact. Optimal execution. Agent models.
On completion of this unit students will be able to:
Weekly homework: 10%
Assignments: 10%
Minor project: 10%
Exam: 70%
Two 1.5-hour lectures and one 1-hour tutorial per week
See also Unit timetable information
Only students enrolled in the Master of Financial Mathematics can enrol in this unit. Exceptions can be made with permission from the unit co-ordinator.