Examination procedure
Written exam (questionnaire) and seminar on a research project
Examination procedure notes
Prerequisites
Basic notion of probability theory and stochastic calculus. The course is intended for student of the fourth and fifth year in mathematics and physics and for PhD students in mathematics, physics, and computer science.
Syllabus
Electronic markets and limit order book. High frequency data. Statistical and structural models (Roll and its generalizations). Asymmetric information models (Glosten-Milgrom, Kyle). Information share. Inventory management models. Optimal market making strategies. Statistical limit order book models and scenario generation. Trading models: Market impact and order flow. Trading costs. Optimal execution strategies. Statistical Arbitrage. High Frequency Trading. High Frequency Econometrics: Realized volatility and covariance, Microstructure noise. Point processes in finance (Hawkes processes and ACD models). High frequency systemic risk: flash crashes, liquidity crises, systemic cojumps
Bibliographical references
Notes, slides and papers will be provided by the teacher.
-- J. Hasbrouck, Empirical Market Microstructure, Oxford University Press (2007)
-- O. Gueant, The financial mathematics of market liquidity, Chapman & Hall (2016)
-- A. Cartea, S. Jaimungal, J. Penalva, Algorithmic and High Frequency Trading, Cambridge University Press (2015)