Algorithmic trading and modern microstructure of limit order books
Most financial markets are becoming electronic and typically operated as limit order books. The equities market underwent that transformation in the past 15 years or so. In this series of lectures we will review the microstructure of electronic limit order book markets and of algorithmic trading. We will start with a broad overview of these topics highlighting some important engineering details and key mathematical problems, followed by a more detailed review of some specific questions that highlight the queueing behavior of LOB markets over short time scales.
For further information, including details of how to register for this event, please see the CFM-Imperial Distinguished Lectures webpage.