FE 570 Market Microstructure and Trading Strategies

The course offers an overview of modern financial markets for various securities: equities, FX, and fixed income, different types of traders, orders, and market structures, market microstructure models used for describing price formation in dealer markets (inventory models and information-based models), models of the limit-order markets, optimal order execution: optimal order slicing, and maker-versus-taker strategies. The course introduces several typical trading strategies by introducing technical analysis, including trend, momentum, and oscillator-based strategies, arbitrage trading strategies, including pair trading, implementation and methods of strategies back-testing.




Graduate Student or At Least Junior


School of Business

Typically Offered Periods

Fall Semester Spring Semester