Thesis Algorithmic Trading

Our Colchester Campus is also easily reached from London and Stansted Airport in under one hour.

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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.

In addition to traditional topics in financial econometrics and market microstructure theory, we put special emphasis on areas: This course is taught by experts with both academic and industrial expertise in the financial and IT sectors.

We bring together leading academics in the field from our departments of economics, computer science and business.

In particular, the risky asset price is modelled using a skew Brownian motion.

After formulating the stochastic control problem, closed form solutions are derived.This thesis considers three topics in stochastic control theory.Each of these topics is motivated by an application in finance.In the second topic the same framework is expanded to include a hedging control that can be used by the market maker to manage the inventory.In particular, the market impact is assumed to be of the Almgren and Chriss type.Home to over 13,000 students from more than 130 countries, our Colchester Campus is the largest of our three sites, making us one of the most internationally diverse campuses on the planet - we like to think of ourselves as the world in one place.The Campus is set within 200 acres of beautiful parkland, located two miles from the historic town centre of Colchester – England's oldest recorded town.We aim to respond to applications within two weeks.If we are able to offer you a place, you will be contacted via email.We are one of the largest and best resourced computer science and electronic engineering schools in the UK.Our work is supported by extensive networked computer facilities and software aids, together with a wide range of test and instrumentation equipment. You’ll need to provide us with your academic qualifications, as well as supporting documents such as transcripts, English language qualifications and certificates.