Please note the prerequisites for this course at the bottom of the course description.

As of 2019-2020, this course is an elective only for students of Banking and Finance and Financial Management. When you are a student of another master’s programme with sufficient pre-knowledge for this course, the course coordinator decides if you can be enrolled.

With the rise of high frequency trading on stock markets during the past decade, algorithmic trading plays an increasingly important role on stock markets, for example to exploit mispricing. In the course students will learn to build financial algorithms based on clear and feasible valuation logic. During the sessions students will learn what valuation techniques can be applied to a range of financial products. Moreover, the role of financial algorithms in modern finance and fintech will be discussed. This course is given with the support of an internationally leading firm in the field of market making. This firm trades a wide range of products: listed derivatives, cash equities, exchange–traded funds, bonds and foreign currencies. This cooperation enables students to test their algorithms by applying them to actual price data of a wide range of financial products.

The programming of algorithms will be done in Python, a programming language that is used more and more in firms that work with big data and therefore helpful for your future career. As entry requirement for this course, students are expected to have knowledge of Python at the level of a number of (freely available) Basecamp tutorials. To enable the actual programming of algorithms, the first two course weeks comprise a number of Python workshops which build on the entry requirement. All participants should therefore have an interest in programming. In addition, they should feel comfortable and motivated to work in a small team that jointly develops financial algorithms.
 
Learning objectives
At the end of the course, the student is able to:

• Understand the financial theory behind financial algorithms and analytics;
• Develop financial algorithms for trading;
• Understand the role of financial algorithms in modern financial markets and fintech developments.

Format
Lectures and workshops

Assessment method

• a number of programming assignments (75%)
• written exam on finance theory (25%, individual)

Prerequisites
Students must have knowledge of Finance equivalent to the period 1 and 2 courses in either Banking and Finance or Financial Management. In addition, students should have knowledge of Python at the level of the Python module offered during the course Fintech Research Project.


In case online access is required for this course and you are not in the position to buy the access code, you are advised to contact the course coordinator for an alternative solution. Please note that access codes are not re-usable meaning that codes from second hand books do not work, as well as access codes from books with a different ISBN number. Separate or spare codes are usually not available.