FIN 566 FE - Algorithmic Mkt Microstructure
This course introduces the modern theoretical, empirical and institutional foundations of market microstructure and trading activity, with an emphasis on applications to algorithmic and high-frequency trading. The first part of the course addresses market microstructure and the algorithmic implementation of traditional microstructure-inspired tasks such as minimizing execution costs. The second part of the course proceeds to examine actual algorithmic strategies, and ultimately high-frequency trading. Recurrent themes throughout the course will be the use of economic theory to simplify computationally challenging problems, and the use of theory-driven structural models to construct more robust trading algorithms. Course Information: 4 graduate hours. No professional credit. Prerequisite: Restricted to students in the MS in Financial Engineering program.
Academic Program Restrictions:
MS: Financial Engineering
Option 1Number of Required Visit(s): 0
Course Level: Graduate