Market Microstructure and Algorithmic Trading
Course Number: 46982
This course presents foundational concepts and current issues in trading within financial markets, including algorithmic and high-frequency strategies, optimal execution, execution quality analysis, limit order markets, and market structure.
Topics include price decomposition, VWAP benchmarking, information asymmetry metrics such as PIN and VPIN, and price impact of order flow imbalance.
The course considers trading in equity, options, futures, and cryptocurrency markets. Students will use Kdb+ and Python with real intraday data for hands-on analysis in Jupyter notebooks.
Concentration: Finance
Semester(s): Mini 6
Required/Elective: Elective
Prerequisite(s): 46921, 46923, 46929, 46972