These lectures will start with an introduction to market microstructure and focus on the price formation process and the role of intermediaries. They will thus cover auction mechanisms, influence of regulations (Reg NMS and MiFID), fragmentation and market impact. We will then explore models for orderbook dynamics.
After a short review of some statistical facts, we will cover different aspects of optimal trading:
• optimal order routing across dark pools
• optimal trade scheduling
• optimal market making.
Academic results will be presented at the light of my practical experience, to deliver applicative perspectives.