Lehrveranstaltungen im SS 17

Seminar

Selected Topics in Risk Management

Dozent:
  • Nikolaus Graf von Luckner, M.Sc.
  • Marcel Kremer, M.Sc.
Ansprechpartner:
Semester:
Sommersemester 2017
Termin:
Wednesday 2-4 pm
Raum:
R09 R00 H43
Beginn:
26.04.2017
Sprache:
englisch

Beschreibung:

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.

Literatur:

Introductory literature:

  • Chapters 6 and 14 from High Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems, I. Aldridge, 2013


Further reading:

  • Risk Metrics and Fine Tuning of High-Frequency Trading Strategies, Á. Cartea, S. Jaimungal, 2015

Prüfungsart:

Preparation of a seminar paper and its presentation.

Formalia:

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.