COMPGF04 - Financial Market Modelling and Analysis
This database contains the 2017-18 versions of syllabuses. Syllabuses from the 2016-17 session are available here.
Note: Whilst every effort is made to keep the syllabus and assessment records correct, the precise details must be checked with the lecturer(s).
|Taught By||Chris Clack (100%)|
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 students will be able to distinguish between different types of modeling and analysis, and explain the advantages and disadvantages of each method; they will gain an understanding of discrete-time dynamic optimisation methods; they will gain an understanding of numerical simulation methods, including both agent-based techniques and the use of recurrence relations.
- Introduction to the Financial Markets
- Market Microstructure
- Order-driven and Quote-driven markets
- Orders, Quotes and Trades
- Post-trade processing
- Trading Strategies
- Risk Management
- 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
- Instability arising from coupled dealer algorithms
Method of Instruction
The course has the following assessment component:
- Written Examination (2.5 hours, 100%)
To pass this course, students must:
- Obtain an overall pass mark of 50%
Reading list available via the UCL Library catalogue.