COMP0075 Financial Market Modelling and Analysis

This database contains the 2018-19 versions of syllabuses. These are still being finalised and changes may occur before the start of the session.

Syllabuses from the 2017-18 session are available here.

Academic session

2018-19

Module

Financial Market Modelling and Analysis

Code

COMP0075

Module delivery

1819/A7P/T2/COMP0075 Postgraduate

Related deliveries

None

Prior deliveries

COMPGF04

Level

Postgraduate

FHEQ Level

L7

FHEQ credits

15

Term/s

Term 2

Module leader

Clack, Chris

Contributors

Clack, Chris

Module administrator

Nolan, Martin

Aims

This module will introduce students to the field of modelling and analysing financial markets with emphasis on (i) the wide variety of deterministic and discrete-time methods that are available; and (ii) numerical simulation of the financial markets, including agent-based modeling. The module will start with a broad introduction to financial markets and terminology used in the financial markets.

Learning outcomes

On successful completion of the module, a student will be able to:

  1. distinguish between different types of modeling and analysis, and explain the advantages and disadvantages of each method.
  2. understand discrete-time dynamic optimisation methods.
  3. understand numerical simulation methods, including both agent-based techniques and the use of recurrence relations.

Availability and prerequisites

This module delivery is available for selection on the below-listed programmes. The relevant programme structure will specify whether the module is core, optional, or elective.

In order to be eligible to select this module as optional or elective, where available, students must meet all prerequisite conditions to the satisfaction of the module leader. Places for students taking the module as optional or elective are limited and will be allocated according to the department’s module selection policy.

Programmes on which available:

  • MSc Computational Finance
  • MSc Financial Systems Engineering

Prerequisites:

In order to be eligible to select this module, students must have:

  • the equivalent of a 2:1 UK bachelor's degree in computer science, mathematics, statistics, physics, engineering or another similar quantitative subject; and
  • a strong background with high performance in mathematics; and
  • English language at UCL's Good level.

Content

Introduction to the Financial Markets

  • Market Microstructure
  • Order-driven and Quote-driven markets
  • Orders, Quotes and Trades
  • Post-trade processing
  • Regulation
  • Trading Strategies
  • Risk Management

Markets

  • Auctions
  • Markets
  • Dealer Markets and Order-Book Markets
  • Market Making
  • Low latency and High Frequency Trading

Introduction to Techniques

  • Game Theory
  • Minority Games
  • Agent Based Models
  • Dynamic Optimisation

Specific models

  • Day & Juang - Bulls, Bears and Market Sheep
  • Lyons - The Foreign Exchange Hot Potato
  • Huang et al - Optimal Market Making with Risk Aversion

A full reading list is available on the module’s Moodle page, and an indicative reading list may be available via http://readinglists.ucl.ac.uk/departments/comps_eng.html.

Delivery

The module is delivered via lectures.

Assessment

This module delivery is assessed as below:

#

Title

Weight (%)

Notes

1

Written examination (2hrs 30mins)

100

 

In order to pass this module delivery, students must achieve an overall weighted module mark of 50%.