Algorithmic Trading & Market Microstructure


The course seeks to detail and characterise how algorithms are being applied in trading for financial markets products through electronic and automated tools/venues. Given the impact of these high frequency trading patterns in todays markets, the course will also detail the microstructure of financial markets which is essential for the development of these new techniques applied by market participants. The course will also describe some case studies so students can understand their practical application.

Caracterização geral





Professor responsável

David Mendes Duarte


Semanais - A disponibilizar brevemente

Totais - A disponibilizar brevemente

Idioma de ensino

Português. No caso de existirem alunos de Erasmus, as aulas serão leccionadas em Inglês


Registration in Postgradute of Data Science for Finance.


Método de ensino

  • Expositional and Questioning with Active Methods and Case Studies
  • Investigation Projects and Practical Applications
  • Knowledge Development and Learning Capability

Método de avaliação

  • Group Work Assignments (40% of final grade)
  • Individual Final Written Exam (60% of final grade, with a minimum grade of 8/20)


  1. Electronic Trading in Financial Markets
    • Basic Concepts, Characteristics and Methodologies
    • Types of Assets and Orders
    • Market Terminology
  2. Microstructure of Financial Markets
    • Fundamentals
    • Participants and Liquidity Providers
    • Execution of Orders
    • Market Efficiency
    • The Relevance of Technical Analysis
  3. High Frequency Algorithmic Trading
    • Basic Concepts and Overview
    • Types of Algorithms
    • Techniques for Algorithmic Trade Execution
    • The Value of a Microsecond
    • The Potential Impact of Blockchain/DLT Technology
  4. Impact of Regulation in Algorithmic Trading
    • Quality of Data
    • Transparency and Disclosure
    • Transaction Cost Analysis
    • Reporting
    • Associated Risks
  5. Case Studies


Cursos onde a unidade curricular é leccionada: