| 课程号 |
06239076 |
学分 |
2 |
| 英文名称 |
Topics in Market Microstructure Models |
| 先修课程 |
微积分，线性代数，概率论，随机过程 |
| 中文简介 |
本课程旨在介绍及探讨与市场微结构相关的数学，经济及物理模型。基于应用所须，本课程前一小段将着重于随机微积分与随机控制理论的简介。学生修完成课程应具备对市场微结构模型的基础知识及其与应用相关的技术。 |
| 英文简介 |
The course aims at introducing market microstructure models from economics, mathematics, and physics viewpoints. In order to prepare the student into the core, the first half of the course offers a crash course on stochastic calculus and stochastic control theory. The second half will cover modeling of limit order book, price impact models, problem of optimal execution, algorithmic trading strategies, and smart order routing schemes. Upon completion, students are expected to understand the market microstructure models covered in the course and possess basic skills to implement the models. |
| 开课院系 |
国家发展研究院 |
| 通选课领域 |
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| 是否属于艺术与美育 |
否 |
| 平台课性质 |
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| 平台课类型 |
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| 授课语言 |
英文 |
| 教材 |
The microstructure of financial market,De Jong and Rindi,Cambridge University Press,2009；
Market liquidity: Theory, evidence and policy,Foucault, Pagano and Roell,Oxford University Press,2013；
Algorithmic and high-frequency trading,Cartea, Jaimungal and Penalva,Cambridge University Press,2015；
Market microstructure: confronting many viewpoints,Abergel et al,Wiley,2012；
Information and learning in markets: the impact of market microstructure,Vives,Princeton University Press,2010；
All about high-frequency trading,Durbin,McGraw-Hill Education,2010；
Empirical market microstructure,Hasbrouck,Oxford University Press,2007；
Algorithmic trading and DMA,Johnson,4Myeloma Press,2010；
Market microstructure in practice,Lehalle and Laruelle,World Scientific Publishing Company；
Market microstructure theory,O’Hara,Wiley,1998；
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| 参考书 |
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| 教学大纲 |
了解市场微结构模型及其在实务上的应用。
● Background materials (8学时)
1. Crash course on stochastic calculus and stochastic control
2. Time series analysis
3. Statistical learning
● Economics models (8学时)
1. Inventory models
2. Information based models
3. Information and the price process
● Market models (8学时)
1. Market vs limit order decision
2. Statistical arbitrage strategy and mean reversion trading
● Price impact models and their related optimal execution schemes (8学时)
1. Modeling of market impact
2. Optimal execution strategies
3. Algorithmic trading with learning
课堂讲授: 100%
作业: 60%, 期末考: 40%
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| 教学评估 |
Tai-Ho Wang：
学年度学期：16-17-3，课程班：市场微结构模型专题1，课程推荐得分：4.38，教师推荐得分：4.38，课程得分分数段：95-100；
学年度学期：17-18-3，课程班：市场微结构模型专题1，课程推荐得分：3.75，教师推荐得分：3.95，课程得分分数段：85-90；
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