Market Microstructure Models
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Overview
Subject area
MTH
Catalog Number
9879
Course Title
Market Microstructure Models
Department(s)
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.
Typically Offered
Fall, Spring, Summer
Academic Career
Graduate
Liberal Arts
Yes
Credits
Minimum Units
3
Maximum Units
3
Academic Progress Units
3
Repeat For Credit
No
Components
Name
Lecture
Hours
3
Requisites
023077