Market Microstructure and Algorithmic Trading
Course Number: 46982
Concentration: Finance
Semester(s): Fall, Mini 6
Required/Elective: Elective
Prerequisite(s): 46921, 46923, 46929, 46972
Trading is central to the investment process. This course presents foundational concepts and current issues relating to trading in financial markets including algorithmic and high frequency strategies, optimal order execution, execution quality analysis, the dynamics of limit order markets, the regulatory and institutional landscape, programming and IT infrastructure, and the economics of market microstructure. Important empirical methodologies and concepts such as price decomposition using vector autoregression, VWAP benchmarking, information asymmetry metrics such as PIN and VPIN, and the price impact of order flow imbalance (OFI) will be introduced. The course will consider trading in equity, options, fixed income, futures as well as in crypto markets. In hands-on course assignments, you will utilize the industry-standard Kdb+ and Python languages along with actual intraday quote, trade and order book data to perform analysis in Jupyter notebooks.
Non-MSCF students may not take this course without written permission from the instructor. To be eligible, you must be a BSCF student or a graduate student enrolled in an MSCF participating college (Dietrich, Heinz, Tepper or Mellon). PhD students with relevant research may be eligible with permission from the instructor.