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Algorithmic Trading (FNCE30010)
Undergraduate level 3Points: 12.5On Campus (Parkville)
To learn more, visit 2023 Course and subject delivery.
Overview
| Availability(Quotas apply) | Semester 2 |
|---|---|
| Fees | Look up fees |
Global equity markets have changed fundamentally over the last decades Regulatory reforms to promote competition for trading services have led to considerable fragmentation of markets. New entrants and new technology have contributed to innovative new trading mechanisms and pricing structures. Today, markets are overwhelming electronic, with trading occurring using algorithms rather than manually. Graduates wishing to pursue careers in financial markets need to understand the new market structure that exists and have skills to understand and implement trading strategies in this environment. This subject will ensure students develop these skills and knowledge, through a combination of lectures and hands-on experience of manual and robot trading in online experimental markets.
The class is quite unique. Despite growing importance of computerised trading in financial markets, there exist hardly any finance classes that expose students to the issues, let alone allowing them to develop the skills to conceive robot traders themselves through participation in experimental online markets.
Intended learning outcomes
The overall aim is to introduce students to the microstructure of modern financial markets in general, and to algorithmic trading in particular. Algorithmic trading refers to the use of robots (automatic order submission computer program) to accomplish a certain trading goal, such as automatic market making, statistical arbitrage, technical analysis, portfolio rebalancing, etc. Students will be given the opportunity to get hands-on experience in purposely designed online financial markets, as manual traders, or as algorithmic traders, depending on programming skills and career concerns.
On successful completion of this subject students should be able to:
- Explain the key features of the microstructure of financial markets
- Successfully trade in a number of different trading systems
- Conceive of, and if with computer skills, program, algorithms for the automatic execution of trading strategies
- Differentiate between types of trading strategies
- Back-test algorithmic traders or test them in an experimental setting
- Opine in an informed way about the advantages and drawbacks of algorithmic trading
Generic skills
On successful completion of this subject, students should have improved the following generic skills:
- Oral communication
- Written communication
- Problem solving
- Thinking outside the box
- Team work
- Critical thinking
- Evaluation of data and other information
- Using computer software
Last updated: 14 March 2025
Eligibility and requirements
Prerequisites
Algorithmic Trading is limited to 30 students per semester. Permission of the Subject Coordinator must be granted prior to enrolment. Students must email the Subject Coordinator stating how they meet the eligibility requirements. All applicants will also be invited to a 15-minute interview.
Students must also have met the following prerequisites:
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| FNCE30001 | Investments |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
Note: these can be taken concurrently (at the same time)
AND
One of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| ECOM20001 | Econometrics 1 |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| ECON20003 | Quantitative Methods 2 |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
Summer Term (On Campus - Parkville)
|
12.5 |
| MAST20004 | Probability |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
|
12.5 |
| MAST20005 | Statistics |
Semester 2 (On Campus - Parkville)
Summer Term (Dual-Delivery - Parkville)
|
12.5 |
| MAST20006 | Probability for Statistics | Semester 1 (On Campus - Parkville) |
12.5 |
AND
One of
| Code | Name | Teaching period | Credit Points |
|---|---|---|---|
| COMP10001 | Foundations of Computing |
Semester 2 (On Campus - Parkville)
Semester 1 (On Campus - Parkville)
Summer Term (Dual-Delivery - Parkville)
|
12.5 |
| COMP10002 | Foundations of Algorithms |
Semester 1 (On Campus - Parkville)
Semester 2 (On Campus - Parkville)
|
12.5 |
Corequisites
None
Non-allowed subjects
None
Recommended background knowledge
Knowledge of Python is a benefit.
Inherent requirements (core participation requirements)
The University of Melbourne is committed to providing students with reasonable adjustments to assessment and participation under the Disability Standards for Education (2005), and the Assessment and Results Policy (MPF1326). Students are expected to meet the core participation requirements for their course. These can be viewed under Entry and Participation Requirements for the course outlines in the Handbook.
Further details on how to seek academic adjustments can be found on the Student Equity and Disability Support website: http://services.unimelb.edu.au/student-equity/home
Last updated: 14 March 2025
Assessment
| Description | Timing | Percentage |
|---|---|---|
A Group Assignment (at most 3 per group/term report) comprising one report
| Week 12 | 40% |
5 in-class, online quizzes
| Throughout the teaching period | 30% |
2 Algorithmic Development Tasks
| 30% |
Last updated: 14 March 2025
Quotas apply to this subject
Dates & times
- Semester 2
Principal coordinator Nitin Yadav Mode of delivery On Campus (Parkville) Contact hours One 2-hour lecture and one 1-hour tutorial per week Total time commitment 120 hours Teaching period 24 July 2023 to 22 October 2023 Last self-enrol date 21 November 2022 Census date 31 August 2023 Last date to withdraw without fail 22 September 2023 Assessment period ends 17 November 2023 Semester 2 contact information
Time commitment details
Estimated total time commitment is 170 hours.
What do these dates mean
Visit this webpage to find out about these key dates, including how they impact on:
- Your tuition fees, academic transcript and statements.
- And for Commonwealth Supported students, your:
- Student Learning Entitlement. This applies to all students enrolled in a Commonwealth Supported Place (CSP).
Subjects withdrawn after the census date (including up to the ‘last day to withdraw without fail’) count toward the Student Learning Entitlement.
Additional delivery details
Algorithmic Trading is limited to 30 students per semester. Enrolment is by email application only to the Subject Coordinator, stating how you meet the eligibility requirements. All applicants will be invited to a 15-minute interview.
Last updated: 14 March 2025
Further information
- Texts
Prescribed texts
You will be advised of prescribed texts by the subject coordinator.
- Subject notes
Enrolment in Algorithmic Trading is capped at 30 students per semester. To enroll in this subject, please email the subject coordinator specifying how you meet the subject requirements.
- Breadth options
This subject is available as breadth in the following courses:
- Bachelor of Arts
- Bachelor of Biomedicine
- Bachelor of Design
- Bachelor of Environments
- Bachelor of Fine Arts (Acting)
- Bachelor of Fine Arts (Animation)
- Bachelor of Fine Arts (Dance)
- Bachelor of Fine Arts (Film and Television)
- Bachelor of Fine Arts (Music Theatre)
- Bachelor of Fine Arts (Production)
- Bachelor of Fine Arts (Screenwriting)
- Bachelor of Fine Arts (Theatre)
- Bachelor of Fine Arts (Visual Art)
- Bachelor of Music
- Bachelor of Science
- Available through the Community Access Program
About the Community Access Program (CAP)
This subject is available through the Community Access Program (also called Single Subject Studies) which allows you to enrol in single subjects offered by the University of Melbourne, without the commitment required to complete a whole degree.
Please note Single Subject Studies via Community Access Program is not available to student visa holders or applicants
Entry requirements including prerequisites may apply. Please refer to the CAP applications page for further information.
- Available to Study Abroad and/or Study Exchange Students
This subject is available to students studying at the University from eligible overseas institutions on exchange and study abroad. Students are required to satisfy any listed requirements, such as pre- and co-requisites, for enrolment in the subject.
Last updated: 14 March 2025