Paul Besson

Responsable de l'équipe de recherche quantitative, Kepler - Chevreux

Joaquin Fernandez-Tapia

CTO, CAP OMEGA, Montpellier

Gaëlle Le Fol

Professor in Finance, Head of the Master 203, Université Paris - Dauphine Autres cours :

Marchés électroniques

Les objectifs du cours

This course is a presentation of financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets. 

Plan du cours

Session 1: The evolution of financial markets, financial market regulation, trading methodology and strategy

Session 2: Identifying and trading on opportunities

Session 3: Trading cost analysis and electronic trading strategies

Session 4: Optimal execution, almgren chriss, market impact, benchmarks

Session 5: Estimation using HF data, seasonalities and Market impact estimation

Session 6: Trading with limit orders: position in the order book, non-execution risk, dynamical optimisation

Session 7: Optimal trading

 

Pré-requis: Advanced time series, Machine learning, Python or C++ programming

Bibliographie

Aldridge I., High-frequency trading, Wiley & sons, 2013.

Chan E., Algorithmic Trading- Winning Strategies and Their Rationale, Wiley, 2013.

Hasbrouck J., Empirical Market Microstructure, Oxford University Press, 2007

Lehalle C. A. and S. Laruelle, Market Microstructure in Pratice, World Scientific 2013.

Johnson B, Algorithmic Trading & DMA, Myeloma Press, 2010.

Examen

TBA