This next year the Department of Statistics is offering the following new 
short six-week course beginning the end of February. If you would like 
additional information, please contact Prof. Jaimungal at Seba...@utoronto.ca">
Sebastian.jaimungal@utoronto.ca

Applied Stochastic Control: Algorithmic and High Frequency Trading

With the availability of high frequency financial data, new areas of 
research in stochastic modeling and stochastic control have opened up. 
This 6 week course will introduce students to the basic concepts, 
questions and methods that arise in this domain. We will begin with 
the classical market microstructure models, understand different theories 
of price formation and price discovery, identify different types of 
market participants, and then move on to reduced form models. Next, 
we will investigate some of the typical algorithmic trading strategies 
employed in industry for different asset classes. Finally, we will develop 
stochastic optimal control problems for solving optimal liquidation and 
high frequency market making problems and demonstrate how to solve those 
problems using the principles of dynamic programming leading to 
Hamilton-Jacobi-Bellman equations. Students will also have a chance to 
work with historical limit order book data, develop Monte Carlo simulations 
and gain a working knowledge of the models and methods. Tentative topics include:
 -Market Microstructure
 -Overview of Stochastic Calculus
 -Dynamic Programming & HJB
 -Dynamics of LOB
 -Optimal Liquidation
 -Market Making
 -Risk Metrics

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Prof. S. Jaimungal,
Associate Professor and
Associate Chair of Graduate Studies
Dept. Statistical Sciences & Mathematical Finance Program
University of Toronto
100 St. George Street, Toronto, Ontario
Canada M5S 3G3
http://www.utstat.utoronto.ca/sjaimung
Office: 6005 - Sidney Smith Hall
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