FIN 566
Fall 2019 Part of Term 1
Aug 26-Dec 11
Credit: 4 hours.
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.
4 graduate hours. No professional credit. Prerequisite: Restricted to students in the MS in Financial Engineering program.
| CRN | Type | Section | Time | Day | Location | Instructor | Section Details | |
|---|---|---|---|---|---|---|---|---|
|
67130
|
Lecture-Discussion
|
FE
|
5:00PM
-7:50PM
|
T
|
Business Instructional Fac
|
Clark-Joseph, A
Lariviere, D |
|