Monday, November 3th – Wednesday, November 5th
Algorithmic Trading in Financial Markets
8-Hour Intensive Course – MSc in Management & Finance Università degli Studi del Piemonte Orientale
This 8-hour course provides a comprehensive introduction to algorithmic trading, integrating theoretical foundations with real-world trading applications.
The program is led by Roberto Maria Caloi, Head of the Equity and Derivatives Desk at Banca Sella Holding, and an experienced FX dealer, options market maker, and algorithmic trader. Course Overview Students will explore the structure and mechanics of modern financial markets, focusing on the design and implementation of trading algorithms.
Key topics include:
-Central Order Book
– Understanding market microstructure and order types. Roll Model of Traded Prices
– Theoretical framework and empirical applications. Inventory Control
– Managing risk and position limits in trading. The Dealer Problem
– Market-making dynamics and optimization. Statistical Arbitrage
– Identifying trading opportunities using quantitative models. Optimal Execution
– Strategies to minimize transaction costs and slippage. Automation and Network Latency
– Technical challenges in high-frequency trading. Matlab Applications
– Analysis of executed price series and pseudocode for automatic market making.
Schedule (in presence and remotely) Monday, November 3th (14:00–16:00): Introduction to trading room operations, market overview, algorithmic trading concepts, real trade data analysis, and the Roll Model (theory). Tuesday, November 4th (11:00–13:00): The Dealer Problem and inventory control strategies. Wednesday, November 5th (9:00–13:00): Statistical arbitrage, PCA applications in Matlab, pseudocode for StatArb models, optimal execution, and network latency considerations. By the end of the course, participants will gain the ability to design and implement simple algorithmic trading applications in Matlab.
Acknowledgment The course is supported by Banca Sella Holding. Information and Registration: 📧 manfin@uniupo.