Lehrveranstaltungen im SS 17
The topic of this term’s risk management seminar is:
Performance and risk of high-frequency trading strategies
Participants are required to write a seminar paper on their chosen topic and give a short presentation by the end of the term. Each participant’s topic will be agreed upon based on adequacy and personal interest.
- Chapters 6 and 14 from High Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, I. Aldridge, 2013
- Risk Metrics and Fine Tuning of High-Frequency Trading Strategies, Á. Cartea, S. Jaimungal, 2015
Preparation of a seminar paper and its presentation.
The first meeting is scheduled for April 26, 2017 14:00 in R09 R00 H43 with the aim of introducing potential topics. Please register for this meeting by email to nikolaus.graf-von-luckner (at) uni-due.de. Allocation of topics is planned to be completed by May 5, 2017. Please note that de-registration and hence avoiding to receive malus points for not handing in a seminar paper is only possible until May 31, 2017.