Market Microstructure in Practice: Why and how to trade optimally in a fragmented market - Part II

Charles Lehalle
Capital Fund Management

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.

Presentation (PDF File)

Back to Workshop II: The Mathematics of High Frequency Financial Markets: Limit Order Books, Frictions, Optimal Execution and Program Trading