MTH 9879

Market Microstructure Models · 3 credits · Spring 2027

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.

Seat status as of Oct 3, 4:49 AM ET. Seats can change between refreshes.

URA-LEC Regular

Thu · 6:05 PM - 9:00 PM

B - Vert 4-185

Instructor not announced yet

In PersonOpen