Carnegie Mellon University

Market Microstructure and Algorithmic Trading

Course Number: 46982

Concentration: Finance
Semester(s): Fall, Mini 6
Required/Elective: Elective
Prerequisite(s): 46921, 46923, 46929, 46972

Trading is central to the investment process. This course presents foundational concepts and current issues relating to trading in financial markets including algorithmic and high frequency strategies, optimal order execution, execution quality analysis, the dynamics of limit order markets, the regulatory and institutional landscape, programming and IT infrastructure, and the economics of market microstructure. Important empirical methodologies and concepts such as price decomposition using vector autoregression, VWAP benchmarking, and PIN will be introduced. The course will consider trading in fixed income, equity, futures as well as in crypto markets. In hands-on course assignments, you will utilize the industry-standard Kdb+ and python languages along with actual intraday quote, trade and order book data to perform analysis in Jupyter notebooks.