This is a course on market microstructure and electronic trading. That means we study data and theory on how markets work, what liquidity is... to the extent we can get at that, and how to trade better. So we cover lots of material relevant for algorithmic traders. The course is pretty fast-paced, but it's fun and useful.
⚠︎If you enjoy these slides, you may benefit from the material in A Quantitative Primer on Investments with R -- especially the material in Chapters 2-5, 7-8, 10, and (maybe) 12 and 14-16. Some of the material in Week 14 is expanded in Chapter 26. If you have not taken a course on investments (or did and found it easy), you should probably start with QPIwR before tackling this material.
Disclaimer: You are free to use these in an academic setting — provided you are not in Illinois. (If you want to use these in a classroom setting in Illinois, contact me.) If you find these useful, just cite them. There may be errors and you accept that liability.
Week 2: Orders and Quotes, Homework 1
Week 5: Roll and Sequential Trade Models, Glosten-Milgrom R code
Week 6: Strategic Trader and Inventory Models, Kyle R code
Week 7: Prices, Sizes, and Times, Quote Delays R code
Week 8: Liquidity, Market Quality, and Risk
Week 9: Market Metrics Across Time
Week 10: Price Impact and Trade Scheduling
Week 12: Electronic Trading Tools I (embargo!*)
Week 13: Electronic Trading Tools II and Strategies (embargo!*)
Week 14: Microstructure and Policy Issues
* "Who runs Bartertown?"