MTH5550 - Quantitative trading and market microstructure - 2019

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.



Organisational Unit

School of Mathematical Sciences

Chief examiner(s)

Dr Hassan Fallahgoul


Dr Hassan Fallahgoul

Unit guides



  • First semester 2019 (On-campus)


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.


Mathematical formulation of trading strategies; order book modelling; market Impact and optimal execution; efficient market hypothesis; the CAPM model; portfolio optimisation; optimal trading; correlation and covariance estimators; multivariate analysis; co-integration; micro-economy of derivatives pricing.


On completion of this unit students will be able to:

  1. Develop specialised financial skills within the fields of statistics and probability theory.
  2. Understand the complex connections between specialised financial and mathematical concepts.
  3. Apply critical thinking to problems in statistics and probability that relate to financial markets.
  4. Apply problem solving skills within the finance context.
  5. Formulate expert solutions to practical financial problems using specialised cognitive and technical skills within the fields of statistics and probability.
  6. Communicate complex information in an accessible format to a non-mathematical audience.


Examination (3 hours): 60% (Hurdle)

Continuous assessment: 40%

Hurdle requirement: To pass this unit a student must achieve at least 50% overall and at least 40% for the end-of-semester exam.

Workload requirements

Two 1.5-hour lectures and one 1-hour applied class per week

See also Unit timetable information