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MSc Algorithmic Trading

Why we're great

  • Develop the essential operational skills needed for state-of-the-art computational methods for financial modelling
  • Study the use of financial market simulators for stress testing trading strategies, and designing electronic trading platforms
  • Your degree is accredited by the Institution of Engineering and Technology – your first stage towards professional registration as a Chartered Engineer

Course options2016-17

Duration: 1 year
Start month: October
Location: Colchester Campus
Based in: Computer Science and Electronic Engineering (School of)
Fee (Home/EU): £11,150
Fee (International): £14,500

Duration: 2 years
Start month: October
Location: Colchester Campus
Based in: Computer Science and Electronic Engineering (School of)
Fee (Home/EU): £5,575
Fee (International): £7,250

Course enquiries

Telephone 01206 872719
Email pgadmit@essex.ac.uk

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About the course

On our MSc Algorithmic Trading, we equip you 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.

We enable you 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.

The course includes hands-on projects on topics such as order book analysis, VWAP & TWAP, pairs trading, statistical arbitrage, and market impact functions. You have the opportunity to study the use of financial market simulators for stress testing trading strategies, and designing electronic trading platforms.

In addition to traditional topics in financial econometrics and market microstructure theory, we put special emphasis on areas:

  • Statistical and computational methods
  • Modelling trading strategies and predictive services that are deployed by hedge funds
  • Algorithmic trading groups
  • Derivatives desks
  • Risk management departments

Our Centre for Computational Finance and Economic Agents is an innovative and laboratory-based teaching and research centre, with an international reputation for leading-edge, interdisciplinary work combining economic and financial modelling with computational implementation. We are supported by Essex’s highly rated Department of Economics, School of Computer Science and Electronic Engineering, and Essex Business School.

We are ranked Top 10 in the UK in the 2015 Academic Ranking of World Universities, with more than two-thirds of our research rated ‘world-leading’ or ‘internationally excellent (REF 2014).

Professional accreditation

This degree is accredited by the Institution of Engineering and Technology (IET).This accreditation is increasingly sought by employers, and provides the first stage towards eventual professional registration as a Chartered Engineer (CEng).

Our expert staff

This course is taught by experts with both academic and industrial expertise in the financial and IT sectors. We bring together leading academics in the field from our departments of economics, computer science and business.

Our staff are currently researching the development of real-time trading platforms, new financial econometric models for real-time data, the use of artificially intelligent agents in the study of risk and market-based institutions, operational aspects of financial markets, financial engineering, portfolio and risk management.

More broadly, our research covers a range of topics, from materials science and semiconductor device physics, to the theory of computation and the philosophy of computer science, with most of our research groups based around laboratories offering world-class facilities.

Specialist facilities

We are one of the largest and best resourced computer science and electronic engineering schools in the UK. Our work is supported by extensive networked computer facilities and software aids, together with a wide range of test and instrumentation equipment.

  • We have six laboratories that are exclusively for computer science and electronic engineering students. Three are open 24/7, and you have free access to the labs except when there is a scheduled practical class in progress
  • All computers run either Windows 7 or are dual boot with Linux
  • Software includes Java, Prolog, C++, Perl, Mysql, Matlab, DB2, Microsoft Office, Visual Studio, and Project
  • Students have access to CAD tools and simulators for chip design (Xilinx) and computer networks (OPNET)
  • We also have specialist facilities for research into areas including non-invasive brain-computer interfaces, intelligent environments, robotics, optoelectronics, video, RF and MW, printed circuit milling, and semiconductors

Your future

We have an extensive network of industrial contacts through our City Associates Board and our alumni, while our expert seminar series gives you the opportunity to work with leading figures from industry.

Our recent graduates have gone on to become quantitative analysts, portfolio managers and software engineers at various institutions, including:

  • HSBC
  • Mitsubishi UFJ Securities
  • Old Mutual
  • Bank of England

We also work with the university’s Employability and Careers Centre to help you find out about further work experience, internships, placements, and voluntary opportunities.

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Example structure

Postgraduate study is the chance to take your education to the next level. The combination of compulsory and optional modules means our courses help you develop extensive knowledge in your chosen discipline, whilst providing plenty of freedom to pursue your own interests. Our research-led teaching is continually evolving to address the latest challenges and breakthroughs in the field, therefore to ensure your course is as relevant and up-to-date as possible your core module structure may be subject to change.

For many of our courses you’ll have a wide range of optional modules to choose from – those listed in this example structure are, in many instances, just a selection of those available. Our Programme Specification gives more detail about the structure available to our current postgraduate students, including details of all optional modules.

Year 1

This module aims to prepare students for conducting an independent research project leading to a dissertation and to provide them with an appreciation of research and business skills related to their professional career. As a precursor to their project students, individually select an area of Computer Science, or Electronic Engineering, or Computational Finance and perform the necessary background research to define a topic and prepare a project proposal under the guidance of a supervisor. The module guides them by a) introducing common research methods b) creating an understanding of basic statistics for describing and making conclusions from data c) helping to write a strong proposal including learning how to perform literature search and evaluation and d) giving an in-depth view into the business enterprise, financial and management accounting and investment appraisal.

View 'Professional Practice and Research Methodology' on our Module Directory

This module focuses on quantitative methods in finance and economics and their application to investment, risk management and trading. The module will introduce students to state-of-the-art statistical modelling of financial markets and will give an overview of the quantitative framework that is necessary to advance to other CCFEA modules.

View 'Quantitative Methods in Finance and Trading' on our Module Directory

Gain theoretical knowledge and a practical understanding of financial markets, trading strategies, risk and money management and trader analytics at the highest level. You study a mix of classroom-based instruction, case studies and practical trading exercises where you trade on real-time simulated global markets through the use of industry-strength proprietary trading software in the trading lab.

View 'Trading Global Financial Markets' on our Module Directory

We now live in the era of the cloud, fifty years after John McCarthy first proposed that computing could accessed like a public utility, just as we plug a device in to an electricity socket. Cloud computing, making large-scale datacentres and their facilities publically available over the Internet, is now an economic engine of growth. It certainly generates income for the giants of the computing industry, such as Amazon, Google, Microsoft and Oracle. But it also benefits numerous small and medium-sized enterprises (SMEs) that transfer their e-commerce, Big Data, Web and business analytics, and IT applications to a cloud in a way that would have been impossible previously, because the SMEs would have lacked the start-up capital. There are also employment opportunities in third-party companies that manage clouds, help transfer applications to a cloud, and create software to run novel applications on a cloud. The module will therefore be of interest to those hoping to enter the cloud-computing industry. More specifically this module provides students with an understanding of the key architectural features and technologies of cloud computing. It investigates virtualization of resources, the service oriented architecture, large-scale data management, and networking. The module also reviews contemporary developments such as green and mobile cloud computing. A theoretical analysis of cloud technologies is supplemented by analysis of actual data-centres and services, available from major providers including Amazon, Google, and Microsoft. Practical work within the module provides students with hands-on experience of virtualization and the performance of typical applications such as video transcoding and mapReduce-based parallel computation.

View 'Cloud Technologies and Systems (optional)' on our Module Directory

Constraint satisfaction is about decision-making. It is about making a large number of decisions, satisfying complex constraints. Constraint techniques have been employed by many companies, including IBM, British Telecom, British Airway. This module will introduce the basic techniques in constraint satisfaction, with emphasis on its applications to real world problems such as logistics and finance. Constraint satisfaction is the core of computer science. Students in artificial intelligence, operations research, computational finance, etc. should all benefit from taking this module.

Acquire critical and transferable skills associated with the creation and growth of new business ventures. You focus on the development process from start up to early stage growth of new ventures, new small businesses spin offs from large firms, and especially innovative, technology-based firms. You study opportunity identification, self-efficacy, ideas generation, bricolage and bootstrapping, developing business models, networking, marketing, and finance.

View 'Creating and Growing a New Business Venture (optional)' on our Module Directory

This module aims at introducing students to digital processing techniques, including sampling and analysis of digital signals, signal conditioning, the design of digital filters, and digital signal processing applications. Discrete signals and systems are studied, with an emphasis on the Fourier and Z-transforms that are necessary for the analysis of discrete signals and design of digital filters.

View 'Digital Signal Processing (optional)' on our Module Directory

Evolutionary computation is an exciting area of artificial intelligence that focuses on systematic methods (known as evolutionary algorithms) inspired by Darwinian evolution for getting computers to automatically solve problems starting from a high-level statement of what needs to be done. Evolutionary algorithms are today routinely used to solve difficult problems in industry, medicine, biology, finance, and much more. Evolutionary algorithms can even consistently solve difficult problems which require solutions in the form of computer programs. This is a form of automatic programming that is known as genetic programming. In this module you will learn how to use evolutionary algorithms and genetic programming to solve real-world problems from an international authority in these areas.

View 'Evolutionary Computation and Genetic Programming (optional)' on our Module Directory

When a program ran too slowly, it used to be the case that one could simply wait a few months and improvements in the speed of processors would make it run quickly enough. Sadly, that is no longer the case and programmers must take a different approach -- and that leads us into the realm of high-performance computing. In this module, the jargon of and approaches to high-performance computing will be introduced. Lectures will cover the principles and theory of the subject, giving you knowledge of things like how to calculate how many processors will be needed to perform a particular task, while the companion practical sessions give you the chance to build a compute cluster and write programs to run on it and on the module's dedicated 100-node cluster.

View 'High Performance Computing (optional)' on our Module Directory

Mathematics is a tool used in many fields of research, and this module introduces students to techniques and ways of thinking designed to enable them to carry out their own mathematical investigations, or to apply mathematical ideas to an investigation of their own (typically for most students on this module, this will be their Dissertation project). We use the industry standard mathematical software Matlab, although the techniques introduced can also be applied using other software, and we study a range of techniques for numerical computation and processing of data.

View 'Mathematical Research Techniques Using Matlab (optional)' on our Module Directory

The aim of this module is to provide an introduction to computer programming for students with little or no previous experience. The Python language is used in the Linux environment, and students are given a comprehensive introduction to both during the module. The emphasis is on developing the practical skills necessary to write effective programs, with examples taken principally from the realm of data processing and analysis. You will learn how to manipulate and analyse data, graph them and fit models to them. Teaching takes place in workshop-style sessions in a software laboratory, so you can try things out as soon as you learn about them.

View 'Programming in Python (optional)' on our Module Directory

We live in an era in which the amount of information available in textual form - whether of scientific or commercial interest - greatly exceeds the capability of any man to read or even skim. Text analytics is the area of artificial intelligence concerned with making such vast amounts of textual information manageable - by classifying documents as relevant or not, by extracting relevant information from document collections, and/or by summarizing the content of multiple documents. In this module we cover all three types of techniques.

View 'Text Analytics (optional)' on our Module Directory

Teaching

  • Taught over one year on a full-time basis
  • Taught modules for the first two terms, followed by a dissertation in the summer
  • Study is highly practical and involves both lectures and hands-on laboratory sessions
  • Analyse and model real world financial data
  • Attend lectures given by practitioners, including senior staff from HSBC, Olsen Ltd, Royal Bank of Scotland and the Financial Services Authority

Assessment

  • Courses are awarded on the results of your written examinations, together with continual assessments of your practical work and coursework

Dissertation

  • Many dissertations have formed the basis of published research papers
  • Students have been invited to present at international conferences and renowned institutions, such as the Bank of England

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Qualifications

UK entry requirements

We will consider applications with an overall grade of 2:2 and above.

International and EU entry requirements

We accept a wide range of qualifications from applicants studying in the EU and other countries. Email pgadmit@essex.ac.uk for further details about the qualifications we accept. Include information in your email about the undergraduate qualification you have already completed or are currently taking.

IELTS entry requirements

IELTS 6.0 overall with a minimum component score of 5.5

If you do not meet our IELTS requirements then you may be able to complete a pre-sessional English pathway that enables you to start your course without retaking IELTS.

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Visit us

Open days

We hold postgraduate events in February/March and November, and open days for all our applicants throughout the year. Our Colchester Campus events are a great way to find out more about studying at Essex, and give you the chance to:

  • tour our campus and accommodation
  • find out answers to your questions about our courses, student finance, graduate employability, student support and more
  • meet our students and staff

If the dates of our organised events aren’t suitable for you, feel free to get in touch by emailing tours@essex.ac.uk and we’ll arrange an individual campus tour for you.

Virtual tours

If you live too far away to come to Essex (or have a busy lifestyle), no problem. Our 360 degree virtual tour allows you to explore the Colchester Campus from the comfort of your home. Check out our accommodation options, facilities and social spaces.

Exhibitions

Our staff travel the world to speak to people about the courses on offer at Essex. Take a look at our list of exhibition dates to see if we’ll be near you in the future.

Applying

You can apply for our postgraduate courses online. You’ll need to provide us with your academic qualifications, as well as supporting documents such as transcripts, English language qualifications and certificates. You can find a list of necessary documents online, but please note we won’t be able to process your application until we have everything we need.

There is no application deadline but we recommend that you apply before 1 July for our taught courses starting in October. We aim to respond to applications within two weeks. If we are able to offer you a place, you will be contacted via email.

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Although great care is taken in compiling our course details, they are intended for the general guidance of prospective students only. The University reserves the right to make variations to the content and method of delivery of programmes, courses and other services, to discontinue programmes, courses and other services and to merge or combine programmes or courses, if such action is reasonably considered to be necessary by the University.

The full procedures, rules and regulations of the University are set out in the Charter, Statues and Ordinances and in the University Regulations, Policy and Procedures.