Market Microstructure Models

Catalog description

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.