Course Information

Instructor

Dr. Ryan Riordan
ryanriordan.ca

Course details

See Brightspace

Contacting me

ryan.riordan@queensu.ca

Course Schedule

Big Data and Machine Learning

Session 11 November 15, 2020 – November 21, 2020
We’ll explore the features and methods of big data and machine learning, as well as their current and anticipated impacts on investing.

Deliverables: quiz

Digital Assets and Blockchain

Session 10 November 8, 2020 – November 14, 2020
What is money and how is its value determined? We’ll explore money, the traditional payments system and various developments in blockchain technology, including the emergence of digital currencies and other new business models in decentralized finance.

Deliverables: quiz, Robinhood case study

Wealth-Tech and RoboAdvice

Session 9 November 1, 2020 – November 7, 2020
We’ll explore recent developments in WealthTech, including the emergence, mechanics and offerings of robo-advisors.

Deliverable: quiz

Investing and Portfolio Management + Factor Investing

Session 8 October 25, 2020 – October 31, 2020
We’ll explore risk and return, portfolio management strategies and factor investing.

Deliverable: quiz

Content Review

Session 7 October 18, 2020 – October 24, 2020
Deliverables: none

Digital Capital Markets Wrap-Up

Session 6 October 11, 2020 – October 17, 2020
We’ll delve into some digital capital markets topics a little further before moving on to investing next week.

Deliverable: quiz

Innovative Market Structures

Session 5 October 4, 2020 – October 10, 2020
We’ll explore speed bumps, dark markets and the current discourse of each.

Deliverable: quiz

High Frequency Trading and Algorithmic Trading

Session 4 September 27, 2020 – October 3, 2020
We’ll explore the impacts of algorithmic and high-frequency trading on markets and the construction of execution benchmarks.

Deliverables: ECN Millennials Case, quiz

Evolution of Market Technology & Evaluating Market Quality

Session 3 September 20, 2020 – September 26, 2020
We’ll explore the evolution of market technology, the importance of speed in trading and methods for assessing the quality of an electronic market.

Deliverable: quiz

Trading and Markets & Floor and Limit Order Markets

Session 2 September 13, 2020 – September 19, 2020
We’ll explore the need for trade and financial markets, the roles and functions of a floor market and the operations of a limit order book.

Deliverable: quiz

Introduction to Course

Session 1 September 6, 2020 – September 12, 2020
Welcome to MFIN841!

Deliverable: pre-course survey

Deliverables

.js-id-casestudy
Living Cases Market Data Analysis Final Pitch Quizzes

CBOE dives into Canadian dark pool trading with acquisition

Ed Tilly, president and CEO of CBOE Global Markets, discusses the acquisition of Canadian alternative trading system MatchNow, which is the largest provider of dark pool trading in the country.
n.d., BNN Bloomberg
CBOE dives into Canadian dark pool trading with acquisition

Dark Pool Trading System & Regulation

The effective regulation of “dark pools”, which are private forums for trading securities, is necessary to secure efficient trade execution, and to ensure transparent and fair markets as a means of fostering confidence and trust in trading markets.
n.d., CFA Institute
Dark Pool Trading System & Regulation

Dark Side of Delaying Order Execution

High-frequency trading (HFT) firms provide and take liquidity using speed and superior information.
Sep 30, 2020, Jun Aoyagi
Dark Side of Delaying Order Execution

2010 Flash Crash

The May 6, 2010 flash crash was a United States trillion-dollar stock market crash, which started at 2:32 p.m. EDT and lasted for approximately 36 minutes.
Sep 26, 2020, Various Authors
2010 Flash Crash

Big Data in Finance

Big data in finance refers to large, diverse (structured and unstructured) and complex sets of data that can be used to provide solutions to long-standing business challenges for financial services and banking companies around the world.
n.d., Corporate Finance Institute
Big Data in Finance

Big data in finance and the growth of large firms

Two modern economic trends are the increase in firm size and advances in information technology. We explore the hypothesis that big data disproportionately benefits big firms.
August 2018, Begenau, Farboodi & Veldkamp
Big data in finance and the growth of large firms

Blockchain disruption and decentralized finance - The rise of decentralized business models

Blockchain technology can reduce transaction costs, generate distributed trust, and empower decentralized platforms, potentially becoming a new foundation for decentralized business models.
June 2020, Yan Chen & Cristiano Bellavitis
Blockchain disruption and decentralized finance - The rise of decentralized business models

Does a Central Clearing Counterparty Reduce Counterparty Risk?

We show whether central clearing of a particular class of derivatives lowers counterparty risk. For plausible cases, adding a central clearing counterparty (CCP) for a class of derivatives such as credit default swaps reduces netting efficiency, leading to an increase in average exposure to counterparty default.
July 18, 2011, Darrell Duffie & Haoxiang Zhu
Does a Central Clearing Counterparty Reduce Counterparty Risk?

Flash Crash — the trading savant who crashed the US stock market

Liam Vaughan’s account of maths prodigy Navinder Sarao is a cautionary tale on modern finance.
May 7, 2020, Katie Martin
Flash Crash — the trading savant who crashed the US stock market

Is Bitcoin a Real Currency? An economic appraisal

A bona fide currency functions as a medium of exchange, a store of value, and a unit of account, but bitcoin largely fails to satisfy these criteria.
April, 2014, David Yermack
Is Bitcoin a Real Currency? An economic appraisal

Laura Veldkamp on Modeling and Measuring the Data Economy

The five largest American companies derive most of their value not from physical assets, but from intangibles ones, like data. Data and new data technologies are changing production, labor and valuation.
April 2020, Veldkamp
Laura Veldkamp on Modeling and Measuring the Data Economy

Long Run Growth of Financial Data Technology

“Big data” financial technology raises concerns about market inefficiency. A common concern is that the technology might induce traders to extract others’ information, rather than to produce information themselves.
October 2019, Farboodi & Veldkamp
Long Run Growth of Financial Data Technology

Market Design with Blockchain Technology

Blockchain or, more generally, distributed ledger technology allows to create a decentralized digital ledger of transactions and to share it among a network of computers.
July 26, 2017, Katya Malinova & Andreas Park
Market Design with Blockchain Technology

Smart Settlement

Recent regulatory and FinTech initiatives aim to streamline post-trade infrastructures. Does faster settlement benefit markets?
May 1, 2018, Mariana Khapko & Marius Zoican
Smart Settlement

Some Simple Economics of the Blockchain

We build on economic theory to discuss how blockchain technology can shape innovation and competition in digital platforms.
April 20, 2019, Christian Catalini & Joshua S. Gans
Some Simple Economics of the Blockchain

The Economics of Cryptocurrencies – Bitcoin and Beyond

How well can a cryptocurrency serve as a means of payment? We study the optimal design of cryptocurrencies and assess quantitatively how well such currencies can support bilateral trade.
September 1, 2017, Jonathan Chiu & Thorsten V. Koeppl
The Economics of Cryptocurrencies – Bitcoin and Beyond

Why finance is deploying natural language processing

Big data in finance refers to large, diverse (structured and unstructured) and complex sets of data that can be used to provide solutions to long-standing business challenges for financial services and banking companies around the world.
Nov 3, 2020, Tracy Mayor
Why finance is deploying natural language processing

Chapter 19 - Performance Evaluation

Read pages 176 - 188; review the examples, but you may skip over the exhibits.
Key topics - risk and return, expected return, market risk, Sharpe ratio
2014, Andrew Clare
Chapter 19 - Performance Evaluation

FCA researchers outline $5bn ‘tax’ imposed by high-speed trading

Paper released by UK regulators homes in on tactic known as latency arbitrage.
Jan 27, 2020, Philip Stafford
FCA researchers outline $5bn ‘tax’ imposed by high-speed trading

Interpreting Factor Models

Optional reading.
2017, Kozak, Nagel and Santosh
Interpreting Factor Models

Modern Portfolio Theory and Investment Analysis, 9e - Chapter 16

Read pages 385 - 394.
Key topics - passive/active investing, factor investing, statistical models
2014, Edwin Elton, Stephen Brown, William Goetzmann & Martin Gruber
Modern Portfolio Theory and Investment Analysis, 9e - Chapter 16

The Capital Asset Pricing Model - Theory and Evidence

Read pages 25 - 30.
Key topics - CAPM
2004, Eugene Fama and Kenneth French
The Capital Asset Pricing Model - Theory and Evidence

The Economics of Complex Decision Making - The Emergence of the Robo Adviser

Please review the full text.
2017, Fisch, Laboure & Turner

ECN Millennials Case (Case Study)

This case study is due Oct 2, 2020 at 11:59 PM. Students are expected to deliver a written case study report. This assignment is to be completed individually. The final report must be submitted on D2L.
ECN Millennials Case (Case Study)

Final Pitch

This assignment is due Dec 4, 2020 at 11:59 PM. This assignment is worth 30% of your final grade and is to be completed in groups. The final report must be submitted on D2L.
Final Pitch

Knight Capital (Case Study)

This case study is due Oct 23, 2020 at 11:59 PM. Students are expected to deliver a written case study report. This assignment is to be completed individually. The final report must be submitted on D2L.
Knight Capital (Case Study)

Market Data Analysis - Dataset

Dataset. This assignment is worth 10% of your final grade and is due Oct 30, 2020 at 11:59 PM. This assignment is to be completed individually. The final deliverable must be submitted on D2L.
Market Data Analysis - Dataset

Market Data Analysis - Rubric

Rubric. This assignment is worth 10% of your final grade and is due Oct 30, 2020 at 11:59 PM. This assignment is to be completed individually. The final deliverable must be submitted on D2L.
Market Data Analysis - Rubric

Pre-Course Survey (Section 1)

Please complete this survey if you are enrolled in Section 1.
Pre-Course Survey (Section 1)

Pre-Course Survey (Section 2)

Please complete this survey if you are enrolled in Section 2.
Pre-Course Survey (Section 2)

Quick Tips for Online Learning Success

Whether you are a remote-learning veteran or are taking a course for the first time, the following tips will help to make your experience as meaningful as possible.
Quick Tips for Online Learning Success

Robinhood Capital (Case Study)

This case study is due Nov 13, 2020 at 11:59 PM. Students are expected to deliver a written case study report. This assignment is to be completed individually. The final report must be submitted on D2L.
Robinhood Capital (Case Study)

Robo-Advisors (Case Study)

This case study is due Nov 27, 2020 at 11:59 PM. Students are expected to deliver a written case study report. This assignment is to be completed individually. The final report must be submitted on D2L.
Robo-Advisors (Case Study)

Session 1 - Introduction to Course

Welcome to MFIN841!
Session 1 - Introduction to Course

Session 10 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 10 Quiz

Session 11 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 11 Quiz

Session 2 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz. Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 2 Quiz

Session 3 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz. Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 3 Quiz

Session 4 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 4 Quiz

Session 5 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 5 Quiz

Session 6 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 6 Quiz

Session 8 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 8 Quiz

Session 9 Quiz

This quiz will count towards your individual participation grade. Ensure you have completed all mandatory readings before starting the quiz (they will be tested). Only entries submitted prior to the beginning of next class will be accepted. Please note that these quizzes are being assessed on a participation basis only; full marks will be given to those that complete the quiz (scores will not affect the participation grade).
Session 9 Quiz

Paying for Speed- Are Traders Wasting Money?

For a price, high-speed traders can plug into a stock market’s backbone. Unfair advantage or fair exchange?
Mar 8, 2016, Anna Sharratt
Paying for Speed- Are Traders Wasting Money?

Robot Auction Bidders Are Such Buzzkills

Competing against automated agents induces auction bidders to skip risky behaviour.
Oct 21, 2015, Kenza Moller
Robot Auction Bidders Are Such Buzzkills

Making Sense of the Fast — and the Furious

Is high-frequency trading the most evil finance scheme ever conceived? Ryan Riordan crunches some hard-to-access data and comes away with a reassuring tale.
Sep 23, 2014, Anna Sharratt
Making Sense of the Fast — and the Furious

Money & Speed- Inside the Black Box (Optional)

Optional (long, but worth watching if you have time) - Based on interviews with those directly involved and data visualizations up to the millisecond, it reconstructs the flash crash of May 6th 2010.
Dec 13, 2012, VPRO
Money & Speed- Inside the Black Box (Optional)