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. After an overview of markets organizations, trading protocol and market participants, we will study the impact of the regulation evolution on securities markets in Europe and the United States. We will then turn to the analysis of market microstructure basic models. Finally, we will end this class by defining what algorithmic trading is about, where it comes from and what are the strategies behind.
Plan du cours
1) The evolution of financial markets, financial market regulation, trading methodology and strategy 2) Trading mechanism and tick by tick data 3) Market microstructure models (inventory models, information models, empirical microstructure models 4) Algorithmic trading (event arbitrage, providing liquidity arbitrage, statistical arbitrage).
Bibliographie
Aldridge I., High-frequency trading, Wiley & sons, 2010.
De Jong F. and B. Rindi, The microstructure of financial markets, Cambridge University Press, 2009.
Hasbrouck J., Empirical Market Microstructure, Oxford University Press, 2007
Johnson B, Algorithmic Trading & DMA, Myeloma Press, 2010.
Examen
1 final exam