This course is a presentation of financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets.
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
Session 4: Electronic trading strategies
Session 5: Market impact: from theory to practice (Python)
Session 6: Almgren & Chris and Optimal execution problem (Python)
Session 7: PCA technics, replication and benchmarking (Python)
Session 8: TBA
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.