Gain a systematic introduction to algorithmic trading by reviewing how the technology changes the landscape of finance. Explore limit order book data and the mechanics of how these data are generated and distributed from the exchanges or alternative trading systems. Using real market data, understand the ecology of financial markets: the interactions between various kinds of investors, market makers, funds, banks, regulators and government.
Learn How To:
- Measure liquidity: bid-ask spread, transaction costs, market depth, speed of transactions and other durations.
- Navigate financial markets: trend followers and contrarians, market makers and liquidity providers\takers, proprietary traders, high frequency traders, pension funds, mutual funds, hedge funds, fund of funds, investment banks and Volcker Rule, central banks and regulators.
- Utilize various market models such as: limit order book, market microstructure, liquidity supply and demand, optimal execution.
- Professor Sam Wong
February 17-21, 2016