MTH 9879: Market Microstructure Models at Baruch College
3 credits · Spring 2027
Market Microstructure Models (MTH 9879) at Baruch College has 1 way to take it in Spring 2027. 1 of 1 section has an open seat right now.
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Requirements
Prerequisite: MTH 9814 & MTH 9831
About this course
This course explores the modeling of market microstructure from the perspective of a trader; that is, to understand the time series of trades, quotes, and cancellations associated with limit order books. Traditional information-based and inventory-based models will be covered, as will the latest developments in the econophysics literature. These models will be harnessed to generate intuition for optimal trading: the minimization of market impact, optimal order routing, optimal spread crossing, and order cancellation.
MTH 9879 sections, times and seats
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