課程名稱︰投資銀行管理
課程性質︰財金系選修
課程教師︰蘇永成
開課學院：管理學院
開課系所︰財金系
考試日期（年月日）︰107.6.26
考試時限（分鐘）：180分鐘
試題 :
General instructions:
1.This is a close bookexam. Try your best to answer the following three questi
ons.
2.Good luck!!
Question 1
Show by graph on participants,price setting and equilibrium conditions in thre
e basix types of market making.(30%)
Question 2
Explain basic symmetric and asymmetric models in GARCH family.(20%)
Briefly discuss GARCH application and how to estimate and hypothesis test a GA
RCH model(10%).
Question 3
How to market makers adjust inventory in return-order imbalance relation(5%)
Discuss in detail price-volume relation in hedging and speculative trading str
ategies(10%).
In financial literatures,how many state variables are available in developing
trading strategies to beat the market?Discuss(25%)