MSc in High Frequency Finance and Trading
What is high-frequency finance ?
High-frequency finance is a new interdisciplinary research
area focusing on real-time trading activities and their associated
characteristics observed in an electronic exchange system. These financial
'tick-by-tick' data sets provide deeper insights into the price formation
process at the microstructure level and have been
widely used to study various (theoretical and empirical) market microstructure
issues, such as price discovery, order choice behaviour of market participants,
optimal order placement strategy. Studying the market
conditions under which traders either demand or supply liquidity will lead to a
better understanding of the price formation process.
Aims and objectives of the scheme
This MSc programme aims to equip students 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. The main
objective of this degree scheme is to enable students 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.
In addition to traditional topics in financial
econometrics and market
microstructure theory, there will be special emphasis on statistical and
computational methods for modelling trading strategies and predictive services
that are deployed by hedge funds, algorithmic trading groups, derivatives
desks, and risk management departments.
The courses will include hands-on projects on topics
such as order book
analysis, VWAP & TWAP, pairs trading, statistical arbitrage, and market impact
functions. The student will have the opportunity to study the use of financial
market simulators for stress testing trading strategies, and designing
electronic trading platforms.
Duration of the scheme
The MSc is a 12 month programme with a summer dissertation that is oriented
towards high-frequency finance and trading. The MSc consists of 180 credits with
each 10-week lecture module constituting 15 credits (unless otherwise stated).
Students should have a good 2.1 or First class first degree, with a
quantitative background such as in Physics, Computer Science, Mathematics,
Statistics or mathematical Economics/Finance.
Our expertise and reputation
This degree scheme draws on the success of the MSc in Computational Finance
at the University of Essex and the demand for courses with artificial
intelligence and agent technologies. The bridge between empirical market
microstructures of the real-world financial markets and computational models
will be built by the CCFEA-Lab based module that focuses on the core
applications in this area. Computational Finance at University of Essex has
established its international reputation as a centre that closely integrates
finance and computing. The recent high quality workshops and international
conferences hosted by CCFEA give a good measure of our national and
CCFEA works together with Olsen Ltd, a
pioneer of high frequency finance. We
plan to provide access to the Olsen research infrastructure for MSc and PhD
students. The infrastructure provides access to
a tick database with an event based programming
language for the implementation of online forecasting,
trading models and risk models. The simulation and real time computing
environment is cutting edge, and offers a unique
opportunity for carrying out empirical research in a
production trading environment.
This MSc Degree scheme is in response to the great demand for high powered
MSc studies combining computing, finance and IT. The MSc is unique in that it
will be run at a multi-disciplinary centre which is supported by advanced
studies in its Doctoral Programme that correspond to the core areas of this MSc.
CCFEA students will get exposure to cutting edge research, seminars and
workshops and have gained sought after City internships. Students seeking a
career in the new IT based market economy will benefit from this degree.
The course modules
The MSc consists of 180 credits. There are 8 taught course modules of
6 are compulsory and 2 are optional and a MSc project in the summer
towards high-frequency finance and trading.
Full details of the course structure can be found
here. An overview of the compulsory modules for all of our schemes can
Please note that some of these CE optional modules require previous
experience and students should refer to the University's
online module directory
for full module descriptions.