Professor Jan Obloj, Mathematical Institute, University of Oxford, in the autumn semester will deliver a master course
Algorithmic Trading and Market Making
For master students who is specialized in Actuarial and Financial mathematics, Statistics and Mathematics.
The course will be for 10 academic hours. It will be incorporated into the courses “Stochastic processes in Finance and Insurance” and “Risk processes and problems of Actuarial Mathematics” for the 2nd year master students.
Schedule of the lectures:
Tuesday 2-4 pm UK time, 17th Oct, 31st Oct, 7th of Nov, 14th of Nov and 21st of Nov in Microsoft teams
Meeting ID: 357 964 079 315
Passcode: eCwNrm
After lectures there will be a control work, and the results will be incorporated into the points for respective courses.
Course Overview:
This course will cover different aspects of Algorithmic and High Frequency trading. We will look at how the limit order book works and discuss how and why we could model it. We will devise trading algorithms which take market microstructure into the account. In particular, we will look at the problems of optimal liquidation/acquisition and of market making. For the former, we will discuss the classical Almgren-Chriss setting with permanent and instantaneous market impact and discuss the resulting TWAP and VWAP execution strategies. We will also consider a transient price impact model of Obizhaeva-Wang. This will lead us to consider market efficiency and possible notions of no-arbitrage. We will discuss price manipulation strategies and investigate when models allow, or not, for such strategies.