FE 672 Advanced Market Structure and HFT Strategies
This course extends the basic knowledge on market microstructure theory and trading strategies to the most recent advancement in related topics and covers the latest financial market structure theory and practical techniques of the high frequency trading (HFT) paradigm. High frequency trading is a difficult, but profitable, endeavor that can generate stable profits in various market conditions. But solid footing in both the theory and practice of this discipline are essential to success. This course aims to address everything from new portfolio management techniques for high frequency trading and the latest technological developments enabling HFT to updated risk management strategies and how to safeguard information and order flow in both dark and light markets. Topics include: modern microstructure theory, order types, limit-order book, dark pool trading, market-making strategies, arbitrage strategies, directional strategies, performance and risk assessment, as well as related market regulations. Half of the course is in the Hanlon Financial Systems Lab, where theoretical models are illustrated with real scenarios. This course will leverage the market tick data available at the Hanlon Systems Lab and the GPU cluster to allow students to practice high speed trading strategies with advanced programming language.