COMPGF04 - Financial Market Modelling and Analysis

This database contains 2016-17 versions of the syllabuses. For current versions please see here.

CodeCOMPGF04
YearMSc
PrerequisitesN/A
Term2
Taught ByChris Clack (100%)
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.

Learning Outcomes

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.

 

 

Content

1. 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

 

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

 

3. Introduction to Techniques
Game Theory
Minority Games
Agent Based Models
Dynamic Optimisation

 

4. 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

Lecture presentations.

Assessment

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% 

 

 

Resources

A full list of resources will be available on the Moodle site for this module.

Web resources