Wintersemester 17/18

The topic of this term’s trading room seminar is:

Continuous intraday power trading of 15-minute products and its determinants

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. The focus of this seminar is on quantitative studies which involves computing in statistical software, such as Matlab, R, or Python.

Students are able to

• select, acquire, and process necessary market data.
• use statistical software, such as Matlab, R, or Python, to analyze market data.
• interpret and discuss results critically, and put them into economically meaningful context.
• write a scientific paper and present its content in a scientific talk.

Á. Cartea, S. Jaimungal, and J. Penalva. Algorithmic and High-Frequency Trading. Cambridge University Press, 2015. Chapters 3-4.

Preparation of a seminar paper (20-30 pages) and its presentation (15-20 minutes).

The first meeting (details see above) serves to introduce potential topics. Please register for this meeting by email to marcel.wollschlaeger (at) uni-due.dewith subject "Trading Room Seminar WS17". Allocation of topics is planned to be completed by November 3, 2017. Please note that deregistration and thus avoiding receiving malus points for not fulfilling the examination requirements is only possible until December 1, 2017. 

A basic knowledge of statistical software, such as Matlab, R, or Python, is sufficient. Having taken the course Zeitreihenanalyse is ideal.