Paul Besson

Head of Quantitative research, Euronext

Gaëlle Le Fol

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

Jiang Pu

Researcher, Institut Europlace de Finance

Electronic Markets

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. A particular attention will be dedicated to optimal trading and execution technics but also on the use of algo trading startegies by market participants (who do what).

Prerequisites

Students must be enrolled in courses Derivative Pricing and Stochastic Calculus 2 and  Computational Finance, and must have past Derivative Pricing and Stochastic Calculus 1, Investments and Financial Markets.
 

Plan du cours

Session 1: Evolution of financial markets & regulation, Identifying and trading on opportunities and market microstructure

Session 2: Trading cost analysis and electronic trading strategies. HFT for : Execution algo, Investing, Market making

Session 3: Execution algo introduction + Around the Almgren-Chriss model

Session 4: Investing and Market making

Session 5: Execution algo - Dynamic programming and trading strategies

Session 6: Execution algo - Limit order book and market making

Session 7: Execution algo - Reinforcement learning and beyond

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.

Guéant O., The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, Chapman and Hall, 2016.

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

Group project (Teams of 2 students). 2 projects will be proposed.

Evaluation: Report + presentation