Module Description:
This module gives the student a rigorous introduction to high-frequency finance and empirical market microstructure of electronic financial markets.
The first part of the module gives an overview of modern electronic and algorithmic trading, followed by a review of selected popular models in market microstructure theory. Concepts for trading and matching rules as well as models for order scheduling, transaction cost and execution risk will be taught. The electronic order book of the London SETS and other electronic trading platforms will be discussed.
Intraday-seasonality, realized volatility and scaling laws will be investigated in the second part of the course. Models for limit order books dynamics, information arrival, market impact, and price dynamics will be analysed.
In the computer lab sessions, students will be engaged in MATLAB exercises and case studies that will illustrate the practical implementation of the concepts taught in the lectures.
Upon successful completion of this module, students will be expected:
(1) to have a solid knowledge of market microstructure concepts,
(2) to be able handle and analyse high-frequency financial data, and
(3) to understand the properties of electronic trading in different market types and asset classes.
This module gives the student a rigorous introduction to high-frequency finance and empirical market microstructure of electronic financial markets.
The first part of the module gives an overview of modern electronic and algorithmic trading, followed by a review of selected popular models in market microstructure theory. Concepts for trading and matching rules as well as models for order scheduling, transaction cost and execution risk will be taught. The electronic order book of the London SETS and other electronic trading platforms will be discussed.
Intraday-seasonality, realized volatility and scaling laws will be investigated in the second part of the course. Models for limit order books dynamics, information arrival, market impact, and price dynamics will be analysed.
In the computer lab sessions, students will be engaged in MATLAB exercises and case studies that will illustrate the practical implementation of the concepts taught in the lectures.
Upon successful completion of this module, students will be expected:
(1) to have a solid knowledge of market microstructure concepts,
(2) to be able handle and analyse high-frequency financial data, and
(3) to understand the properties of electronic trading in different market types and asset classes.