6 points, SCA Band 2, 0.125 EFTSL
Postgraduate - Unit
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)
Associate Professor Gregoire Loeper
Unit guides
Synopsis
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.
Outcomes
On completion of this unit students will be able to:
- Develop specialised financial skills within the fields of statistics and probability theory.
- Understand the complex connections between specialised financial and mathematical concepts.
- Apply critical thinking to problems in statistics and probability that relate to financial markets.
- Apply problem solving skills within the finance context.
- Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of statistics and probability.
- Communicate complex information in an accessible format to a non-mathematical audience.
Assessment
Weekly homework: 10% + Assignments: 10% + Minor project: 10% + Examination: 70%
Workload requirements
Two 1.5-hour lectures and one 1-hour tutorial per week
See also Unit timetable information
Chief examiner(s)
Co-requisites
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.