FIN 556

Credit: 4 hours.

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. Credit is not given for FIN 556 if the student has received credit for FIN 566 Algorithmic Market Microstructure (67130, 68314). Prerequisite: Restricted to students in the MS in Financial Engineering program.