FM5462

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FM 5462 - Market Microstructure (2 Cr.)

School of Mathematics (11133) TIOT - College of Science and Engineering

Course description

This course focuses on the stylized facts in market microstructure and its application in algorithmic trading. In order to deal with the vast amount of real time streaming data in algorithmic trading, students will learn how to use KDB+ (a time series database) and its language q (a vectorized functional language).

Minimum credits

2

Maximum credits

2

Is this course repeatable?

No

Grading basis

OPT - Student Option

Lecture

Fulfills the writing intensive requirement?

No

Typically offered term(s)

Periodic Spring