Paul Besson

Head of the Quantitative research team, Kepler - Cheuvreux

Joaquin Fernandez-Tapia

CTO, CAP OMEGA, Montpellier

Gaëlle Le Fol

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

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.


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: 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

Pre-requisit: Advanced time series, Machine learning, Python or C++ programming


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.