辅导 FINS3666 ETF Pricing and Spreads讲解 留学生Matlab编程

Student Guide: Individual Assessment, Activity 2

1. Overview & Goals

This assessment involves an application of financial market knowledge and basic modelling to pricing & spreads of Exchange Traded Funds (ETFs). The assessment objectives are to:

1.  Understand how a Market Maker sets prices & spreads in ETF markets

2.  Practise implementation of statistical & microstructure analysis in pricing & spread models using real intraday data

3.  Effectively communicate the key insights of your analysis in a clear & concise manner.

2. Instructions for Students

2.1. Preparation:

•    Review key concepts from lectures in Weeks 1 – 5

•    Dataset Access: Download the historical order and trade data from Moodle.

2.2. Pricing & Spread Modelling

Step 1: Data Processing & Microstructure Analysis

•   Clean the dataset to handle missing values, outliers, etc. (if applicable)

•   Calculate standard microstructure metrics (if applicable).

Step 2: Pricing Model Implementation

•    Implement a simple pricing model to determine the intraday Fair Value for an ETF, i.e. a real time or indicative Net Asset Value (iNAV).

Step 3: Spread Model Implementation

•    Implement simple bid ask spread model for the same corresponding Exchange Traded Fund (ETF).

2.3. Submission (Due end of Week 5)

Submit the following via Moodle:

1.  Analysis Report: Address the assessment questions concisely by using a maximum of

500 words excluding tables, charts or diagrams that aid your report

2.  Code or Spreadsheet: Submit the code or spreadsheet used for your analysis.

Your assessment will primarily be marked based on the Analysis Report submission. The Code or Spreadsheet submission may be used to verify the Report if needed.

3. Assessment Questions

Please structure your Analysis Report using the sections outlined below.

3.1. Data Processing & Microstructure Analysis (1 marks):

• What data processing steps did you perform, and why were they necessary ?

•   What microstructure metrics did you calculate, and why were they necessary ?

3.2. Pricing Model (3 marks):

• Summarise the results of your pricing model implementation.

3.3. Spread Model (3 marks):

• Summarise the results of your spread model implementation.

3.4. Critical Reflection (3 marks):

• Strengths & limitations: Discuss how well the models performed compared to real data

•   Applications: How can each respective model be improved for real world applications ? Focus on key factors involved in determining ETF prices and spreads.