New York University 3 credits Mathematics
This course covers the theory and practice of financial market microstructure, with a focus on topics relevant to both buy-side trading and sell-side execution strategies. The course provides a detailed look at how modern electronic markets operate, how trading mechanisms shape liquidity and price formation, and how participants interact strategically in continuous limit order book environments. Throughout the course, students gain hands-on experience with market data (including TAQ and limit order book feeds) through homework assignments that reinforce theoretical and empirical material covered in the lectures. Using Python, students perform statistical and computational analyses such as simulating trading environments, estimating price impact models, fitting limit order book models, and exploring auction dynamics. Prerequisites: Risk and Portfolio Management OR Financial Securities and Scientific Computing in Finance OR equivalents.
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