Thesis Algorithmic Trading

Thesis Algorithmic Trading-3
Our staff are currently researching the development of real-time trading platforms, new financial econometric models for real-time data, the use of artificially intelligent agents in the study of risk and market-based institutions, operational aspects of financial markets, financial engineering, portfolio and risk management.More broadly, our research covers a range of topics, from materials science and semiconductor device physics, to the theory of computation and the philosophy of computer science, with most of our research groups based around laboratories offering world-class facilities.

Our staff are currently researching the development of real-time trading platforms, new financial econometric models for real-time data, the use of artificially intelligent agents in the study of risk and market-based institutions, operational aspects of financial markets, financial engineering, portfolio and risk management.More broadly, our research covers a range of topics, from materials science and semiconductor device physics, to the theory of computation and the philosophy of computer science, with most of our research groups based around laboratories offering world-class facilities.

After formulating the stochastic control problem, closed form solutions are derived for the special cases that arise if the asset price is modelled by a Brownian motion with drift or a geometric Brownian motion. The optimal controls are time dependent affine functions of the inventory size and the inventory process under the optimal skew is an Ornstein-Uhlenbeck process.

As a result, the asset price is mean reverting around a reference rate.

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Working With Heights Course - Thesis Algorithmic Trading

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The course includes hands-on projects on topics such as order book analysis, VWAP & TWAP, pairs trading, statistical arbitrage, and market impact functions.

You have the opportunity to study the use of financial market simulators for stress testing trading strategies, and designing electronic trading platforms.

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