MA3804: Trading, Market Design and Applications
| School | Cardiff School of Mathematics |
| Department Code | MATHS |
| Module Code | MA3804 |
| External Subject Code | 100401 |
| Number of Credits | 10 |
| Level | L6 |
| Language of Delivery | English |
| Module Leader | Dr Anqi Liu |
| Semester | Spring Semester |
| Academic Year | 2024/5 |
Outline Description of Module
This 10 credit module is built based on the market microstructure and trading theory and other relevant financial theories. The main focuses are to study financial trading, market structure and design and real market applications. Through learning and analysing real cases, students will form both the deeper knowledge, insights and practical technical skills of various trading strategies, financial and risk modelling and market design. To facilitate this, we offer students investment club projects using our trading floor and investment simulation tools so that students can establish practical skills of devising trading rules/strategies and portfolios, experience actual trading and analyse their own investment performance.
Co-requisite Module: MA3503 Stochastic Processes for Finance and Insurance and MA3801 Market Microstructure and Trading Theory
On completion of the module a student should be able to
- Enhance the knowledge and understanding of fundamental market microstructure theories;
- Ability to apply classic trading and hedging strategies
- Design new trading rules and/or products for efficient investments
- Analyse investment performance
- Form the skills to liaise with other investment managers in the investment competition and games
- Establish conceptual understanding of financial regulations on banking, investment institutions and trading
- Critically examine the trading/investment behaviour and/or strategies’ impact on market efficiency, regulations and market order.
How the module will be delivered
You will be guided through learning activities appropriate to your module, which may include:
- Weekly face to face classes (e.g. labs, lectures, exercise classes)
- Electronic resources to support the learning (e.g. videos, exercise sheets, lecture notes, quizzes)
Students are also expected to undertake at least 50 hours of self-guided study throughout the duration of the module, including preparation of formative assessments.
Skills that will be practised and developed
Skills:
Good knowledge of microstructure theories and their applications, important statistical modelling, estimate and diagnostically test econometric models and Data processing skills
Transferable Skills:
Conceptual understanding of the structure of financial markets and underlying processes driving the market;
Ability to apply and interpret theories
Modelling skills
Hedging skills
Analytical skills
Assessment Breakdown
| Type | % | Title | Duration(hrs) |
|---|---|---|---|
| Report | 50 | Intraday Market Experiment | N/A |
| Report | 50 | Short-Term Investment Experiment | N/A |
Syllabus content
Introduction to trading and trading strategy
Building a yield curve
Stochastic processes and applications in volatility, jump and liquidity modelling
Hedging and strategies
Speculation and arbitrage theories
Ultra-high frequency trading: Information and speed arbitrage
Identify informed and uninformed trading and traders
Flash crashes, prices and volumes
Rebuild order book and queuing of the pool
Credit Valuation Adjustment & Basel Accords
Power Law and Extreme Value Theory