CARNEGIE MELLON UNIVERSITY · UNITED STATES
Market Microstructure and Algorithmic Trading
Master's · Taught in en
At a glance
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Duration
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IELTS
€52k
Tuition / yr
en
Language
Master's
Level
- 46982Course Number
- ElectiveCourse Type
- FinanceConcentration
- Mini 6Semester
- Kdb+, PythonTools Used
- Real intraday dataData Type
This elective course provides foundational knowledge and explores current issues in financial market trading, with a focus on algorithmic and high-frequency strategies. You will delve into topics such as optimal execution, analysis of execution quality, limit order markets, and the intricacies of market structure. The curriculum covers price decomposition, VWAP benchmarking, and metrics for information asymmetry like PIN and VPIN, alongside the price impact of order flow imbalance. The course examines trading across various markets, including equities, options, futures, and cryptocurrencies. Practical experience is gained through hands-on analysis using Kdb+ and Python with real intraday data in Jupyter notebooks.
Curriculum
The course covers foundational concepts and current issues in trading within financial markets, including algorithmic and high-frequency strategies, optimal execution, execution quality analysis, limit order markets, and market structure. Topics include price decomposition, VWAP benchmarking, information asymmetry metrics such as PIN and VPIN, and price impact of order flow imbalance. The course considers trading in equity, options, futures, and cryptocurrency markets.
- Year 1
- Market Microstructure and Algorithmic Trading46982
Careers
This course equips students with practical skills and theoretical knowledge applicable to various roles in financial markets. Through hands-on analysis with real data and industry-relevant tools, graduates are prepared for careers involving trading, execution analysis, and market structure understanding.
- Algorithmic Trader
- High-Frequency Trader
- Execution Analyst
- Market Structure Analyst
- Quantitative Analyst
Frequently asked questions
- What is the tuition fee for the Market Microstructure and Algorithmic Trading program?
- The tuition fee for the Market Microstructure and Algorithmic Trading program is $60,900 per academic year for both domestic and international students for the 2026-2027 academic year.
- What are the estimated living expenses for this program?
- Estimated living expenses for the academic year, including housing, food, books, personal expenses, travel, and transportation, are $34,018. This estimate does not include health insurance or loan fees.
- What are the career prospects after completing this program?
- Graduates are prepared for roles such as Algorithmic Trader, High-Frequency Trader, Execution Analyst, Market Structure Analyst, and Quantitative Analyst, equipped with practical skills and theoretical knowledge for financial markets.
- What are the application deadlines for the Fall 2027 intake?
- The application for Fall 2027 admissions opens on September 9, 2026. The specific application deadline is not specified.
- What are the English proficiency requirements for international applicants?
- If English is not your native language, a TOEFL iBT score of at least 100 is required. Test waivers are not issued under any circumstances.
- What programming tools and data are used in this course?
- This course utilizes Kdb+ and Python for hands-on analysis with real intraday data, often within Jupyter notebooks.
Entry requirements
Prerequisites46921, 46923, 46929, 46972
TOEFL iBT score of at least 100 is required if English is not your native language. Waivers for English proficiency tests are not provided, regardless of previous education in English-speaking environments or institutions.
Fees
Tuition (international)Academic Year: $60,900
Tuition (home)Academic Year: $60,900
LivingEstimated total living expenses for the academic year (including housing, food, books, personal expenses, travel, and transportation) is $34,018. This does not include health insurance or loan fees.
Tuition fees are for the Mellon College of Science (MCS) Masters programs for the 2026-2027 academic year. Living expenses are estimates and can vary. Health insurance is TBD. Loan fees are applicable for students using federal loans.
How to apply
1. Complete Online ApplicationSubmit your application through the SCS Online Graduate Application portal. You may apply to multiple programs simultaneously.
2. Submit Required DocumentsUpload a PDF of your most recent transcript from each college/university attended. Provide your resume in PDF format. Write a Statement of Purpose addressing research interests, experience, and objectives, optionally including contributions to diversity, equity, and inclusion efforts. Secure three letters of recommendation, with at least two from faculty or recent employers.
3. English ProficiencyIf English is not your native language, a TOEFL score is required. A minimum iBT score of 100 is normally expected. Test waivers are not issued under any circumstances.
4. Application SubmissionReview and submit your completed application before the deadline.
Scholarships
Rales Fellowship Program—
Frequently asked questions
What is the tuition fee for the Market Microstructure and Algorithmic Trading program?
+
The tuition fee for the Market Microstructure and Algorithmic Trading program is $60,900 per academic year for both domestic and international students for the 2026-2027 academic year.
What are the estimated living expenses for this program?
+
Estimated living expenses for the academic year, including housing, food, books, personal expenses, travel, and transportation, are $34,018. This estimate does not include health insurance or loan fees.
What are the career prospects after completing this program?
+
Graduates are prepared for roles such as Algorithmic Trader, High-Frequency Trader, Execution Analyst, Market Structure Analyst, and Quantitative Analyst, equipped with practical skills and theoretical knowledge for financial markets.
What are the application deadlines for the Fall 2027 intake?
+
The application for Fall 2027 admissions opens on September 9, 2026. The specific application deadline is not specified.
What are the English proficiency requirements for international applicants?
+
If English is not your native language, a TOEFL iBT score of at least 100 is required. Test waivers are not issued under any circumstances.
What programming tools and data are used in this course?
+
This course utilizes Kdb+ and Python for hands-on analysis with real intraday data, often within Jupyter notebooks.