Carnegie Mellon University

Market Microstructure and Algorithmic Trading

Professor: Robert Almgren, Duane Seppi

Department: Tepper

Course Number: 46982

Description: Trading is central to the investment process. This course will present foundational concepts and current developments relating to trading in financial markets including algorithmic and high frequency strategies, optimal order execution, execution quality analysis, the operation of limit order markets, the regulatory and institutional landscape, programming and IT infrastructure, and the economics of market microstructure. The course will specifically consider trading in fixed income and futures markets as well as in equity markets. Course assignments will utilize actual transactions and order flow data.

Prerequisites: 46921, 46923, 46926, 46929, 46976