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

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

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