MSc Algorithmic Trading

On our MSc Algorithmic Trading, we equip you with the core concepts and quantitative methods in high frequency finance, along with the operational skills to use state-of-the-art computational methods for financial modelling.

We enable you to attain an understanding of financial markets at the level of individual trades occurring over sub-millisecond timescales, and apply this to the development of real-time approaches to trading and risk-management.

The course includes hands-on projects on topics such as order book analysis, VWAP & TWAP, pairs trading, statistical arbitrage, and market impact functions. You have the opportunity to study the use of financial market simulators for stress testing trading strategies, and designing electronic trading platforms.

In addition to traditional topics in financial econometrics and market microstructure theory, we put special emphasis on areas:

• Statistical and computational methods
• Modelling trading strategies and predictive services that are deployed by hedge funds
• Algorithmic trading groups
• Derivatives desks
• Risk management departments

Our Centre for Computational Finance and Economic Agents is an innovative and laboratory-based teaching and research centre, with an international reputation for leading-edge, interdisciplinary work combining economic and financial modelling with computational implementation. We are supported by Essex’s highly rated Department of Economics, School of Computer Science and Electronic Engineering, and Essex Business School. That's why we are ranked 6th in the UK for research power in computer science (Times Higher Education research power measure, Research Excellence Framework 2021).

This course is available to study part-time.