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.
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.
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: Sequential decisions under uncertainty
Session 5: Trading strategies and the Almgren-Chriss model; Intraday data and high-frequency data
Session 6: A trading model for the limit order book; Optimal control of trading tactics
Session 7: Reinforcement learning fundamentals; A policy-gradient method for trading
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.