Group coursework

1 - Written assignment (including essay) - 100

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Topic 1: the basics of trading (different trader types, trading mechanisms, order types, definitions of liquidity and efficiency). Foundations of quantitative trading. 
Topic 2: building, implementing and evaluating a quant trading model. Return forecasting models and risk estimation. Embedding transaction costs estimates into your model. 
Topic 3: various methods for return forecasting and for estimating risk. Robust and Bayesian methods. 
Topic 4: Understanding and measuring transaction costs. Asymmetric information and inventory control in markets (models including private information and risk aversion, implications for the relationship between trades and prices, dealer markets and batch markets). Price discovery and liquidity measurement (econometric evidence on the implications of trading methods for information efficiency and determination of liquidity). 
 Topic 5: issues and controversies in modern market structures and quant trading (for example high-frequency trading, algorithmic trading, dark versus lit execution methods, market manipulation, crowded trades).

Feedback is provided in a number of ways throughout your module. This includes feedback you receive during teaching from both peers and lecturers and that provided for formative assessment. Following an assessment, you will be given your marks and feedback in line with the assessment regulations and policy. More information on the timing and type of feedback that will be provided for each assessment will be available from the module leader. <a href='https://www.citystgeorges.ac.uk/about/governance/policies/student-policies-and-regulations'>https://www.citystgeorges.ac.uk/about/governance/policies/student-policies-and-regulations</a>

This module will support the development of all the graduate attributes. Your module leader will provide you with information about how your learning, teaching and assessment activities support your development of these attributes. The graduate attributes are: - Always learning - Engaged in the world - Technical and digital - Connected Professional - Creating Impact

Directed Asynchronous - 

In-Person - 

Self-directed - 

Empirical Market Microstructure

The Microstructure of Financial Markets

 Market Liquidity: Theory, Evidence and Policy

Trading and Exchanges

SMM921 - Trading and Market Microstructure

SMM921-PRD3-PER-ALV1

As is standard for an elective, there will be 18 contact hours comprising lecture time (about 75%) and student presentations/discussions (25%). Trading practitioners will be brought in to give guest lectures where appropriate and available

Contact hours are designed to be flexible and are delivered using a variety of methods to help you learn in the most effective way. A proportion of the core content may be delivered online and additional support materials and content will also be made available through Moodle.

Trading and Market Microstructure

Advise on appropriate execution policy for clients and portfolio managers. 

Values and attitudes

Design an appropriate execution strategy under various circumstances. 

Skills

Develop skills in construction and evaluation of prototypical trading models. 

Describe theoretical work that involves trading on the basis of private information and dealer behaviour which results from risk aversion. Also to describe the implications of this work for properties of trade and price data and portfolio transaction costs. 

Knowledge

Describe the building blocks, implementation and assessment of modern quantitative trading models. 

Measure and model execution quality of a trading system or a set of trades 

Debate the effects of modern developments in trading on market quality and outcomes. 

Demonstrate empirical time-series skills to measure and model financial market liquidity and efficiency 

Describe clearly the manner in which trading takes place in modern markets for equities, FX, cryptos and bonds 