TRADING & FINANCIAL MARKET STRUCTURE (FINC867)
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1 TRADING & FINANCIAL MARKET STRUCTURE (FINC867) TIME / PLACE 6:00 pm 8:45 pm, Lerner Trading Center, Purnell Hall v.sept2012 INSTRUCTORS Richard Jakotowicz, Director Exelon Trading Center (richj@udel.edu), 117 Purnell Hall, Hours: 9:30-10:30 M&W Bruce Weber, Dean and Professor of Business Administration (bweber@udel.edu), 302 Lerner Hall, Hours: 1-2 pm Mondays SECRETARY Wendy Holmes, Phone: (302) This course is for those who want to understand how financial markets operate and what traders do in them. Students are introduced to the theory and practice of financial trading on exchanges, in upstairs dealer networks, and via alternative trading systems. The readings, assignments and class lectures are appropriate for students who do not have market experience. Playing and assessing performance in computer trading simulations are major parts of the course. Issues to be covered include: why people trade how buy and sell orders are transformed into trades in alternative market structures what drives tactical decision-making on trading desks why equities, bonds, currencies, and derivatives markets are organized as they are the determinants of liquidity, volatility, price efficiency, and trading profits the principles of market making, proprietary trading, and risk control how inter-market competition affecting trading why software algorithms and high frequency trading (HFT) are growing in importance trade clearing and settlement, and the straight-through processing (STP) trend what exchanges and regulators do to facilitate trading efficiency and market fairness margin lending in trading This course will be valuable to those planning to work in the securities industry in sales and trading, the fund management or hedge fund business in investment implementation or proprietary trading, or in IT and management consulting for firms active in the markets. At the end of the course, students will be able to: identify the advantages of alternative trading mechanisms assess and measure transactions costs and market quality solve trading and order placement problems recognize different trading styles evaluate traders performance design market mechanisms lobby and influence policy-makers on market structure issues GUEST SPEAKERS: The course will have several guest speakers. Expected visitors are:
2 R. Jakotowicz and B. Weber Trading & Market Structure Page 2 Christopher S. Beck, CFA, Senior Vice President, Chief Investment Officer, Delaware Investments (UD 80, Finance) Brett W. Redfearn, Executive Director and Americas Head of Market Structure Strategy at JP Morgan Chase TRADING SIMULATIONS. Simulations will be used to provide hands-on experience in making tactical trading decisions in different market structures. The simulation (order-driven screen below), an interactive model that I developed with Bob Schwartz, enables users to enter orders into a computer-driven market that generates order flow, and that responds directly to participants orders. Simulations will deepen your understanding of how the structure of markets influences actual trading behavior.
3 R. Jakotowicz and B. Weber Trading & Market Structure Page 3 COURSE READINGS Required: The Equity Trader Course: Market Structure and Trading by Robert Schwartz, Reto Francioni, and Bruce Weber, Wiley, 2006 Readings, assignments, data sets, and solutions will be posted on Sakai course page Optional: Trading and Exchanges: Market Microstructure for Practitioners, by Larry Harris, Oxford University Press, 2006 Mastering the Art of Equity Trading Through Simulation, R. Schwartz, G. Sipress, B. Weber, Wiley, 2010 Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading by Joel Hasbrouck, Oxford Press, 2006 Useful A-Z glossary: GRADING 2 Assignments (group, due Week 4 and 7) Simulations-Composite performance (5-6 labs) Project (Individual, due last week of term) Final exam (in-class, next-to-last week) 40% TOTAL 100% Introduction & Market Functions 1) August 28 Chapter 1, Equity Market Trading in Mastering the Art of Equity Trading (posted on Sakai) Trading vs. Investing/Valuation. Quoting a market example of the NYMEX crude oil pit. Reading market data displays. Indexes: composition, calculations, and trading requirements in index replication. Trading Orders, and Price Indexes 2) September 4 Foreword (by A. Berkeley), Appendix A Prices and Returns, Chapters 2 All About Liquidity Ticker symbols, order types and order placement. Three generic market models: order-driven, quote-driven, periodic call auctions. Trading exercise with cards: revising expectations, prices, and strategy. Order-driven trading 3) September 11 Case 1, Chapters 3 How To Use Limit and Market Orders Trading motives and price discovery. Impact of inside/asymmetric information. Measures/evidence of market illiquidity. Intro to the simulation software Simulation #1 Begin Assignment #1 (due Sept 25 th ) Order-driven market simulation with user playing role of buy-side trader with large order to execute. Order placement decisions and trading performance assessment: risk and contribution to alpha.
4 R. Jakotowicz and B. Weber Trading & Market Structure Page 4 Tactical trading decisions 4) September 18 Chapters 2-3 All About Liquidity, and How To Use Limit and Market Orders Order-driven trading in practice: NYSE roles, market rules, and emerging hybrid market structures. Trading floor clips from Wall Street (1987). Limit orders and market orders and conditions for effective order-driven systems. Optimal order placement. Information change and limit orders as options. Intermediated/proprietary trading 5) September 25 Case 2, Chap. 5: Market Intermediaries: Nuts n Bolts and Challenges Quote-driven structures and liquidity providers. User plays a market maker role in Simulation #2-A trading against order flow with varying volatility. Inventory control, risk measurement, and performance assessment for liquidity providers. Market making in fixed income trading, currency and derivatives trading. Market maker obligations and privileges. Risk Management 6) October 2 Value-At-Risk and Optimization Excel modeling to determine risk exposure utilizing the VAR model using monte carlo simulation. Portfolio optimization to determine position weightings using the Solver Excel add-in. Call auctions and hybrid markets 7a) October 9 Chap. 4: Choosing Between Continuous Trading and a Periodic Call Auction GUEST LECTURE Chris Beck + colleague Simulation #2-B Quote-driven structures and liquidity providers. User plays a market maker role in trading against order flow with varying volatility. Floored Documentary film (2010) about traders in Chicago struggling to make transitions from floor trading to screen-based markets Begin Assignment #2 (due Oct 30) 7b) October 12th Bus trip to the New York stock Exchange Friday October 12th Bus will depart from Purnell Hall in the early morning of Friday October 12 th and will visit the NYSE and other financial institutions. Bus will return to Newark DE at approximately 8pm. Additional details to follow as the date approaches. Trading with algorithms 8) October 16 Chap. 6: Road to Technical Analysis and Algorithmic Trading, Case #3, The Efficient Market Hypothesis (EMH) in light of data and observed market activities. Market frictions, serial autocorrelations, role of adaptive expectations and chart patterns. The basis for charting and technical analysis. Trading algorithm design Simulation #3 Hybrid market Handling large orders in a market with call auctions and alternative trading facilities. Assessing trading performance / Market quality and regulatory policy goals 9) October 23 Case 4, Chapter 7: Performance Measurement Institutional investors and their trading needs. Institutionalization of trading, block trading, upstairs liquidity, the problems of executing large buy and sell orders, and alternative order placement strategies. Simulation #4 Dark pool hybrid market Handling large orders in a market with non-displayed alternative block trading facilities.
5 R. Jakotowicz and B. Weber Trading & Market Structure Page 5 Risk control and post-trade operations 10) October 30 Readings posted on Sakai Assessing trading performance. P&L and value-at-risk (VaR) adjustments. Transactions Cost Analysis (TCA) tools and insights. Basics of clearing and settlement: give-ups/step-outs, matching, DKs, QTs/out-trades, fails, confirmations, allocations. 11) November 6 Election Day University Closed Operations cont d and IT 12) November 13 Readings posted on Sakai Guest lecturer: Brett Redfearn, JPMorgan Securities Margining and margin calls. Straight-through Processing (STP). Connectivity and trade messaging standards and protocols: FIX, SWIFT, ISO and Understanding supply and demand curves, reservation prices, and quantity discovery. Simulation #5 Next-generation innovations in markets / Wrap-up 13) November 20 Readings posted on Sakai Policy issues: commission sharing-csas, soft dollars, internalization, payment for order flow, vertical vs. horizontal models. The future of market structure and policy. Wrap-up: Myths of regulation. Where is trading technology taking the markets? Review example exam questions Guest lecturer: Ed Fortunato, Exelon Corporation 14) November 27 Final Exam 15) December 4 Trading Platform Project Presentations
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