Market Microstructure Models
Overview
Description
This course explores the modeling of market microstructure from the perspective of a trader; that is, to understand the time series of trades, quotes, and cancellations associated with limit order books. Traditional information-based and inventory-based models will be covered, as will the latest developments in the econophysics literature. These models will be harnessed to generate intuition for optimal trading: the minimization of market impact, optimal order routing, optimal spread crossing, and order cancellation.
Career
Graduate
Credits
Value
3
Max
3
Min
3
Course Count
1
Number Of Credits
3
Number Of Repeats
1
Repeatable
No
Contact Use
Yes
Generate Attendance
No
Left Use
Yes
Present Use
Yes
Reason Use
Yes
Tardy Use
Yes
Template Override
No
Time Use
Yes
Attendance Type
Class Meeting
Auto Create
No
Code
LEC
Instructor Contact Hours
3
Default Section Size
30
Final Exam Type
Yes
Include in Dynamic Date Calc
No
Instruction Mode
In Person
LMS File Type
Blackboard CourseInfo 4
Name
Lecture
OEE Workload Hours
0
Optional Component
No
Preferred Room Features
Academic Scheduling
Workload Hours
3