ICMA Centre Summer School 
Algorithmic and High Frequency Trading

San Giobbe Economics Campus, Cannaregio 873, Venice

Selected ICMA Msc students and an ICMA lecturer will visit Venice from July 4th, 2022 to July 13th, 2022 for a ten-day exchange programme in Venice where students will attend course lectures delivered by an ICMA Centre faculty and access libraries and study spaces.

Out-of-class activities are encouraged as well and day trips in the Venetian lagoon and surrounding mainland are scheduled.

The class will be composed of both ICMA students and Ca’ Foscari students.

The hosting institutions are the Department of Economics (in collaboration with VERA Centre) and the Department of Management of Ca’ Foscari University of Venice, long-time partners of Henley Business School and the University of Reading.

The module

Students are going to study a 10-credit module (about 100 hours) delivered by an ICMA Centre faculty: Algorithmic and High Frequency Trading.

Industry participants estimate that 70-80% of equity trades are executed through computers. Market-makers in fixed income and currency markets use algorithms to automatically adjust their quotes. This module reviews the current state of the trading industry and identifies aims, features, regulations, and limitations of three main groups of algorithmic trading strategies: market making, trade execution and statistical arbitrage. Practical seminars are used to demonstrate how to apply trading algorithms to high-frequency data.

By the end of the module, it is expected that the student will be able to:

  • explain the concepts of high frequency trading and algorithmic trading
  • identify the characteristic elements of alternative algorithmic trading strategies
  • solve simple trade execution problems and develop effective execution strategies

How to apply

If you want to take part in this Summer School as a Ca' Foscari student, visit the section "Opportunità internazionali - Dipartimento di Management" [ITA] and apply no later than June 3rd 2022!

For any information and help, please send an e-mail to  international.management@unive.it

The Lecturer

Alfonso Dufour

Associate Professor of Finance
ICMA Centre, Henley Business School, University of Reading

Programme Co-Director of MSc Finance and Financial Technology (FinTech)

Tutorship

A tutor is provided for general logistic matters, support the ICMA lecturer and accompany the students during the day trips.

The tutor shall preferably be selected among the PhD students enrolled in a PhD programme at Ca’ Foscari University of Venice. The call for tutorship application is published in the section "Bandi di tutorato - Dipartimento di Economia [ITA]".

Last update: 14/09/2022