COMPGF04 - Financial Market Modelling and Analysis
This database contains 2016-17 versions of the syllabuses. For current versions please see here.
|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.
1. Introduction to the Financial Markets
Order-driven and Quote-driven markets
Orders, Quotes and Trades
Dealer Markets and Order-Book Markets
Low latency and High Frequency Trading
3. Introduction to Techniques
Agent Based Models
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
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%
A full list of resources will be available on the Moodle site for this module.