SVI 405 · Tier 400 — Graduate — Specialization & Capstone · 2 credits
Microstructure & Execution
Order books, algorithmic execution, and the Trade Execution Proposal engine that ranks and sizes trades.
Prerequisites
Learning Objectives
- Read a limit order book and compute the mid-price, the bid-ask spread, and the depth-weighted microprice.
- Decompose total execution cost into a quoted-spread component and a market-impact component, and write impact as a function of participation rate.
- Compose multiple noisy signals into a single calibrated probability of an asset moving in your favor.