Algorithmic trading

New in 2017: Using experiments to study the use of algorithms in trading

Global equity markets have changed fundamentally over the last two decades. Regulatory reforms to promote competition for trading services have led to considerable fragmentation of markets. New entrants and new technology have contributed to innovative new trading mechanisms and pricing structures. Today, markets are overwhelming electronic, with trading occurring using algorithms rather than manually.  Students wishing to pursue careers in financial markets need to understand the new market structure that exists and have skills to understand and implement trading strategies in this environment.  Our class ensures that students develop these skills and knowledge, through a combination of lectures and hands-on experience of manual and robot trading in online experimental markets.

The class is quite unique. Despite growing importance of computerised trading in financial markets, there exist hardly any finance classes that expose students to the issues, let alone allowing them to develop the skills to conceive robot traders themselves through participation in experimental online markets.

The idea is to introduce students to the microstructure of modern financial markets in general, and to algorithmic trading in particular. Algorithmic trading refers to the use of robots (automatic order submission computer program) to accomplish a certain trading goal, such as automatic market making, statistical arbitrage, technical analysis, portfolio rebalancing, etc. Students are given the opportunity to get hands-on experience in purposely designed online financial markets, as manual traders, or as algorithmic traders, depending on programming skills and career concerns.

The class makes heavy use of our online markets software, Flex-E-Markets.

Levels: upper-level undergraduate, Masters

This subject will be offered at The University of Melbourne from Semester 2, 2017. Details on how to enroll can be found in the University of Melbourne Handbook.