Market Microstructure and Algorithmic Trading

Graduate course, University of Oxford - Mathematical and Computational Finance MSc, 2024

This course covers different models of Algorithmic and High Frequency trading for optimal execution and optimal market making.

Slides and material

Lecture notes

The course lecture notes are here.


This course introduces the optimal algorithmic trading in high frequency markets with a focus on optimal order execution in LOBs and optimal market making in OTC markets. Optimal trading problems share a common structure that will be followed throughout this course. We (i) identify a decision problem motivated by practical situations faced by market operators, we (ii) propose a parsimonious model which summarises the environment in key variables that must be considered, we (iii) frame the decision problem as an optimisation problem which can be addressed using classical mathematical tools, and finally we (iv) obtain a solution (often in closed-form) which we study through simulations and discussions.