FIN 556

Fall 2025 Part of Term 1

Part of Term 1
Aug 25-Dec 10

Algorithmic Market Microstructure

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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.

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FIN 556 class schedule data for fall 2025
	CRN	Type	Section	Time	Day	Location	Instructor	Section Details
	76745	Lecture-Discussion	L1	5:30PM -8:20PM	T	1100 Wymer Hall	Lariviere, D	Part of Term: 1 Date Range: 08/25/25-12/10/25 Section Info: Students outside of the MSFE program (including advanced undergraduates and graduate students in MSF, IE, CS, and ECE departments, among others) may be able to register with instructor approval. Students are required to be proficient with coding in either python and/or C++". Restriction(s): Restricted to MS: Financial Engineering or MS: Finance Cost Rec - UIUC.