Module Details
The information contained in this module specification was correct at the time of publication but may be subject to change, either during the session because of unforeseen circumstances, or following review of the module at the end of the session. Queries about the module should be directed to the member of staff with responsibility for the module.
Title COMPUTER-BASED TRADING IN FINANCIAL MARKETS
Code COMP226
Coordinator Prof RSJ Savani
Computer Science
Rahul.Savani@liverpool.ac.uk
Year CATS Level Semester CATS Value
Session 2019-20 Level 5 FHEQ Second Semester 15

Aims

To develop an understanding of financial markets at the level of individual trades. To provide an overview of the range of different computer-based trading applications and techniques. To introduce the key issues with using historical high-frequency financial data for developing computer-based trading strategies. To provide an overview of statistical and computational methods for the design of trading strategies and their risk management. To develop a practical understanding of the design, implementation, evaluation, and deployment of trading strategies.

Learning Outcomes

(LO1) At the end of the module students will be expected to: Have an understanding of market microstructure and its impact on trading. Understand the spectrum of computer-based trading applications and techniques, from profit-seeking trading strategies to execution algorithms. Be able to design trading strategies and evaluate critically their historical performance and robustness. Understand the common pitfalls in developing trading strategies with historical data. Understand the benchmarks used to evaluate execution algorithms. Understand methods for measuring risk and diversification at the portfolio level.

Syllabus
 

Introduction and overview of the module (1 Lecture).
An overview of financial markets and instruments (2 Lectures).
Using R for financial modelling (2 Lectures and 2 Practicals).
Market microstructure, the limit order book, and dark pools of liquidity (2 Lectures and 1 Tutorial).
Profit seeking versus execution algorithms (1 Lecture).
Designing and testing trading strategies (4 Lectures and 1 Practical).
Common pitfalls when using historical data for developing trading strategies (2 Lectures and 1 Practical).
Statistical tests for evaluating trading strategies (3 Lectures and 1 Tutorial).
Money management techniques (2 Lectures and 1 Practical).
Price benchmarks for execution algorithms (2 Lectures and 1 Tutorial).
A selection of advanced topics: e.g. Smart order routing; Statistical arbitrage (5 Lectures and 1 Practical/Tutorial).
A guide to trading strategy project work (4 Lectures and 1 Practical).

Teaching and Learning Strategies

Teaching Method 1 - Lecture Description: Teaching Method 2 - Laboratory Work Description:

Teaching Schedule
  Lectures Seminars Tutorials Lab Practicals Fieldwork Placement Other TOTAL
Study Hours 30

     10

     40
Timetable (if known)              
Private Study 110
TOTAL HOURS 150

Assessment
EXAM Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Assessment 3 There is a resit opportunity. Assessment Schedule (When) :2  2 hours    80       
CONTINUOUS Duration Timing
(Semester)		 % of
final
mark		 Resit/resubmission
opportunity		 Penalty for late
submission		 Notes
Assessment 1 Standard UoL penalty applies for late submission. This is not an anonymous assessment. Assessment Schedule (When) :2  12 hours expected    10       
Assessment 2 Standard UoL penalty applies for late submission. This is not an anonymous assessment. Assessment Schedule (When) :2  12 hours expected    10       

Recommended Texts
Reading lists are managed at readinglists.liverpool.ac.uk. Click here to access the reading lists for this module.