Description
This module introduces the theories and practices of algorithm trading, where we will see how statistical and mathematical models can be utilised to guide traders what strategies are to be employed under different contexts. Some examples include:
• How to generate trading signals to recommend if a trader should long/short a particular asset? • How to optimally construct a portfolio of different assets to achieve certain risk-return objectives?
• How to dynamically hedge a derivative product under a more complicated model beyond the Black-Schols paradigm?
• A trader wants to sell a large quantity of stock. Submitting this large order to the market in a single trade will create market impact and move the price against the trader. How should this order be optimally broken down into smaller pieces and executed over time to minimise the cost associated with market impact?
Module deliveries for 2024/25 academic year
Last updated
This module description was last updated on 19th August 2024.
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