040029 SE Seminar (MA) (2022S)
Big Data and Fast Securities Markets
Prüfungsimmanente Lehrveranstaltung
Labels
The course "040029 Seminar (MA) Big Data and Fast Securities Markets" is creditable as a compulsory course for the PhD programme Finance "PhD-VGSF: Finance Paper Reading" in SS 2022. VGSF students from WU have to co-enrol at the University of Vienna in order to participate in the course.
An/Abmeldung
Hinweis: Ihr Anmeldezeitpunkt innerhalb der Frist hat keine Auswirkungen auf die Platzvergabe (kein "first come, first served").
- Anmeldung von Mo 07.02.2022 09:00 bis Mo 21.02.2022 23:59
- Anmeldung von Do 24.02.2022 09:00 bis Fr 25.02.2022 23:59
- Abmeldung bis Mo 14.03.2022 23:59
Details
max. 24 Teilnehmer*innen
Sprache: Englisch
Lehrende
Termine (iCal) - nächster Termin ist mit N markiert
Participation in the introductory session is compulsory.
Circumstances permitting the course is scheduled on-site. In case of a deterioration of the pandemic situation it will be moved online.
Montag
07.03.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
14.03.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
21.03.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
28.03.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
04.04.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
25.04.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
02.05.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
09.05.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
16.05.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
23.05.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
30.05.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
13.06.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
20.06.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Montag
27.06.
15:00 - 16:30
Digital
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Seminarraum 13 Oskar-Morgenstern-Platz 1 2.Stock
Information
Ziele, Inhalte und Methode der Lehrveranstaltung
We will discuss cutting edge research on the role of big data and fast trading algorithms for price discovery and asset pricing in securities markets.Typical topics will include the role of social media to organize short squeezes (Reddit and GameStop), the relation between big (sentiment) data and volatility, latency and price discovery, and questions like: why does rain reduce volatility of stock prices? how to optimally design algos for trading in fast markets? allocative effects of dark trading? toxic arbitrage? etc. etc.We will read the scarce theoretical contributions to this fascinating field as well as recent empirical analyses on these topical issues.
Art der Leistungskontrolle und erlaubte Hilfsmittel
Paper presentation (33%)
Referee report (33%)
Active discussion of work of peers (33%) - If need be: camera needs to be activated at all times during Zoom sessionsAttendance mandatory. Course organization will be introduced and the presentation schedule will be arranged in the first meeting at March 7th. Failure to show up in the first meeting may result in the non-availability of presentation slots.
Referee report (33%)
Active discussion of work of peers (33%) - If need be: camera needs to be activated at all times during Zoom sessionsAttendance mandatory. Course organization will be introduced and the presentation schedule will be arranged in the first meeting at March 7th. Failure to show up in the first meeting may result in the non-availability of presentation slots.
Mindestanforderungen und Beurteilungsmaßstab
This is an advanced literature reading seminar. It also serves as a potential basis for the preparation of a master thesis or other advanced work. Therefore, having passed successfully the course "Basics of Finance" and Asset Pricing I" is a pre-requirement.Grading is based on three elements:1.Presentation of a research paper (33%).
Each candidate has to present an advanced paper and organize discussion of the topic with the peeers.2. Referee report (33%)
Each participant will write a referee report about a paper on the reading list that has not been assigned to any presentation, or a paper agreed upon during the seminar. This referee report needs to summarize the paper and evaluate its scope and scientific potential.3. Active discourse (33%)
Research requires two-way communication of ideas. Therefore, in reserach communication both, i.e. sender and receiver play an crucial role to establish knowledge and potentially extend it further. Accordingly, both roles will be relevant for grading.
Each candidate has to present an advanced paper and organize discussion of the topic with the peeers.2. Referee report (33%)
Each participant will write a referee report about a paper on the reading list that has not been assigned to any presentation, or a paper agreed upon during the seminar. This referee report needs to summarize the paper and evaluate its scope and scientific potential.3. Active discourse (33%)
Research requires two-way communication of ideas. Therefore, in reserach communication both, i.e. sender and receiver play an crucial role to establish knowledge and potentially extend it further. Accordingly, both roles will be relevant for grading.
Prüfungsstoff
Presentation of a research paper, referee report on topics of the reading list and related literature.
Literatur
A literature list will be introduced and made accessible (via Moodle) in the first meeting.
Zuordnung im Vorlesungsverzeichnis
Letzte Änderung: Do 11.05.2023 11:26