High Frequency Markets: Models and Data Analysis

Subject associations
ORF 545 / FIN 545
Term
Spring 2022
Instructors
Robert Almgren
Registrar description

An introduction to the microstructure of modern electronic financial markets and high frequency trading strategies. Topics include market structure and optimization techniques used by various market participants, tools for analyzing limit order books at high frequency, and stochastic dynamic optimization strategies for trading with minimal market impact at high and medium frequency. The course makes essential use of high-frequency futures data, accessed using the Kdb+ database language. Graduate credit requires completion of extended and more sophisticated homework assignments.