Market Microstructure and Algorithmic Trading (2019-2020)

Prof. Alvaro Cartea
Course Term: 
Course Overview: 

This course will cover different aspects of Algorithmic and High Frequency trading. We will look at how the limit order book works and devise trading algorithms. In particular we will look at optimal liquidation/acquisition strategies using a combination of market orders and/or limit orders or both. We will also show how to optimally trade when agents can send orders to a dark pool. Moreover, we will show how agents make markets by posting two-sided quotes in the limit order book. Finally, time permitting, we will show how an agent liquidates/acquires shares whilst targeting a percentage of the market’s traded volume.

Reading List: 

Cartea, Jaimungal, Penalva. "Algorithmic and High-Frequency Trading" Cambridge University Press, 2015

Please note that e-book versions of many books in the reading lists can be found on SOLO and ORLO.