ECTS : 3
Description du contenu de l'enseignement :
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 strategies by market participants (who do what).
Session 1: Definitions, Evolution of financial markets & regulation, Traders/investors and algo trading businesses (Execution, Market Making, Investing)
Session 2: Algorithms type, objectives, uses and users
Session 3: Orders, strategies, trading platforms and smart orders rooters
Session 4: Tradinc Cost (TCA) and Performance Analyses
Session 5: Using algos for investing and market making
Session 6: Introduction to execution Algo + Around the Almgren-Chriss model
Session 7: Dynamic programming and trading strategies
Session 8: Limit order book and market making
Session 9: Reinforcement learning and beyond
Compétence à acquérir :
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).
Mode de contrôle des connaissances :
Group project: report + defense (individual evaluation)
Bibliographie, lectures recommandées :