Program Overview

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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. That's why we are ranked 6th in the UK for research power in computer science (Times Higher Education research power measure, Research Excellence Framework 2021). This course is available to study part-time. 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
• Our Employability and Careers Centre is on hand to help with careers advice and planning. You will also have opportunities to present your research and travel to international conferences

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.

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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 10 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)
• Students have access to our Bloomberg virtual trading floor in the Essex Business School
• 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
• Use Matlab to implement quantitative methods in finance and economics, and their application to investment, risk management and trading, as well as Python to model and develop machine learning algorithms with emphasis on the financial industry

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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.