NYU/Stern policies on Academic Integrity, General Conduct & Behavior, Students with Disabilities, and related matters are posted at http://www.stern.nyu.edu/portal-partners/current-students/undergraduate/resources-policies/academic-policies/. Unless otherwise stated, these should also be considered policies for this course.
|Introduction and overview of US equities markets (STPP 1 and 2). Class notes|
|Floor markets (STPP 3) Class notes.|
|Trading exercise Citadex floor trading exercise (no computer necessary on this one.) For this exercise, I'll arrange several sessions outside of our regular class schedule. You'll sign up for one of the sessions. Citadex instructions.|
|Limit order markets (STPP 4) Class notes.|
|Multiple markets (STPP 5) Class notes|
|Trading exercise The veconlab double auction market. Class notes. This can be viewed as a screen-based version of the floor trading exercise. You'll need a laptop with an internet browser.|
|Auctions (STPP 6) Class notes.|
Trading exercise Introduction to the RIT trading simulator. Optional If you want to get practice using the simulator, bring a Windows laptop. This will enable you to play live as we're going over the basics. Our first RIT project will be the F1 futures trading exercise.
|Dealers (STPP 7) Class notes.|
|Trading exercise RIT exercise MM (making markets)|
|Dark markets (STPP 8) class notes|
|Public information (STTP 9) class notes.|
|Midterm exam; closed book, closed notes.|
|Market efficiency and securities class actions (STPP 10) class notes; spreadsheet ROKAEventStudy.xlsx
|Private information (STPP 11). Class notes.
|Regulating insider trading (STPP 12). Class notes
|Arbitrage and hedging. Class notes.|
|RIT ALGO1 arbitrage case. Class notes.|
|Complex orders (STPP 13). Class notes.|
|Transaction cost analysis (TCA; STPP 14). Class notes.|
|Statistical models (STPP 15) Class notes|
|Order splitting (STPP 16) Class notes|
|Dynamic hedging (and the RIT H3 case). Class notes.|
Pricing (STPP 17). Class notes. (Not covered.)
Reg NMS (STPP 18) Class notes.
Readings: Text of Reg NMS: Introduction.
Current issues. High-frequency trading and flash crashes (STPP 19). Class notes.