Topics in Financial Math: Market microstructure and trading algorithms
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Course Description
Introduction to market microstructure theory, including optimal limit order and market trading models. Random matrix theory covariance models and their application to portfolio theory. Statistical arbitrage algorithms.
Grading Basis
ROP - Letter or Credit/No Credit
Min
3
Max
3
Course Repeatable for Degree Credit?
Yes
Total Units Allowed for Degree Credit
30
Course Component
Lecture
Enrollment Optional?
No
Does this course satisfy the University Language Requirement?
No
Programs
MATH237A
is a
completion requirement
for: