Courses

F535

Security Trading and Market Making

  • 7-weeks
  • 1.5 credits
  • Prerequisite: MBA Core

Theory and practice of securities trading at exchanges around the world. How trading and the design of markets affects liquidity, informativeness, transparency, volatility, and fairness. Analyzes alternative trading strategies and the cost of trading. Examines innovations in security exchanges and regulatory policy. Provides hands-on trading experience using realistic trading simulations.

  1. Overview
    1. Introduction
  2. Trading Mechanisms
    1. Orders and Continuous Dealers
    2. Continuous Limit Order Book
    3. Paris, Tokyo, and London
    4. Current Developments
  3. Market Making Issues
    1. Inventory Management
    2. Informed Traders
    3. Security Trader Competition (A Trading Simulation)
  4. Participants
    1. Institutional Traders
    2. Brokers and Arbitrageurs
    3. Day Traders
  5. Market Performance
    1. NASDAQ Implicit Collusion Trial
  6. What’s Next
    1. What’s Next
    2. Dealer Competition (A Trading Simulation)

Course Materials:  Harris, Trading and Exchanges. Course pack includes selected articles on security trading and market making.

Grading Criteria: Graded items include a group project on security trader optimal order submission strategies, a group project on dealer optimal quote and execution strategies, class participation, and a final exam.