Ects : 3

Enseignant responsable :

• JIANG PU
• ARTHUR BAGOURD
• GAELLE LE FOL

Volume horaire : 21

Description du contenu de l'enseignement :

This course is a presentation of financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets. A particular attention will be dedicated to optimal trading and execution technics but also on the use of algo trading startegies by market participants (who do what).

Pré-requis recommandés :

Derivative Pricing and Stochastic Calculus 2, Computational Finance, Advanced time series, Machine learning,

Coefficient : 1.5

Compétence à acquérir :

This course is a presentation of financial markets, trading mechanisms and their evolution dedicated to advancing the understanding and practice of electronic markets. A particular attention will be dedicated to optimal trading and execution technics but also on the use of algo trading startegies by market participants (who do what).

Bibliographie, lectures recommandées

• Bacidore, J. R., 2020, Algorithmic Trading Method: A practitioner's guide, TBG Press New York, 229 pages.
• Chan E., Algorithmic Trading- Winning Strategies and Their Rationale, Wiley, 2013, 207 pages.
• Guéant O., 2016, The Financial Mathematics of Market Liquidity: From Optimal Execution to Market Making, Chapman and Hall, 302 pages.
• Kissell, R., 2020 Algorithmic Trading Method: Applications Using Advanced Statistics, Optimization, and Machine Learning Techniques, Academic Press Inc, 2nd Edition, 612 pages.
• Lehalle C. A. and S. Laruelle, 2018, Market Microstructure in Pratice, World Scientific, 2nd Edition, 339 pages.
• Johnson B, 2010, Algorithmic Trading & DMA, Myeloma Press, 574 pages.