FNCE 449: Trading and Market Data
Description
This course equips students with the skills to construct and implement computer algorithms for analyzing extensive financial data sets. Using Python, the leading programming language in the financial sector, especially in trading, students will learn to:
- Manipulate professional-grade large financial datasets.
- Implement and evaluate asset pricing models to equities and derivatives.
- Use machine learning techniques for prediction and financial risk quantification.
This approach is designed to fast-track students’ careers by minimizing the need for extensive on-the-job training. The course benefits from a data sponsorship from Databento, a low-latency data vendor which provides professional-grade trade and quote data with nanosecond granularity, directly from co-location sites for Nasdaq and CME. Databento was built to serve companies at the forefront of finance, such as Virtu Financial, Flow Traders, or Two Sigma.
Further, the course leverages the Rotman Interactive Trader software which enables simulations across various markets—equities, derivatives, and commodities. This platform challenges students to react to market changes and engage in competitive trading, using both market and limit orders.
Pedagogically, the course adopts two contemporary learning methodologies: experiential learning and the flipped classroom model. Experiential learning, fitting for the lab environment, encourages students to learn through practical engagement with the terminals, fostering independence in seeking out documentation and resources.
The flipped classroom model shifts the focus from traditional lectures to active, hands-on learning, where students apply theoretical finance concepts through practical data analysis using modern programming languages. This blend of approaches ensures a dynamic, immersive learning experience, equipping students with the skills and knowledge for a competitive edge in the finance industry.
The course is intensive and has a strong quantitative component. It is designed for ambitious students who are seriously interested in a career in finance (especially trading and risk management) and who have the work ethic to succeed in a high-pressure work environment. It should be a very rewarding course for those students. Students must have completed FNCE 317. The course will be valuable for FNCE and RMIF majors early, as well as late in their BComm career.
It is designed to complement, rather than replace, other FNCE electives. Thus, some students have taken it as an overload to their FNCE requirements.
Prequisites, Co-requisites and Anti-requisites
FNCE 317 is a pre-requisite.
Also for MBA Students
Consideration will be given to MBA students who have taken FNCE 601, in which case the course will be FNCE 668. In particular, this course may be taken before, after or alongside the CPMT course, unlike the arrangement for previous years.
Application Process
Enrollment in this course is restricted to "Permission of Instructor."
To apply, please e-mail Prof. Marius Zoican at marius.zoican@haskayne.ucalgary.ca before April 30, 2025 with (1) a current CV, (2) an up-to-date transcript, and (3) a brief cover letter emphasizing your quantitative skills and background. No reference letters are needed.
Please use "FNCE 449/668 Student Application" as the e-mail subject.
While the course is designed to be self-contained and does not require previous coding experience, it is highly quantitative and includes a substantial programming component, leading to a steep learning curve. Given the course’s short duration, dropping out has a significant impact on other students (see the Ethics section). If you have any questions before enrolling, please email Prof. Marius Zoican at marius.zoican@haskayne.ucalgary.ca.
Ethics
The Haskayne School places a great emphasis on the importance of ethical decision-making and behaviour by students. Ethics takes a position on a spectrum of behaviour that varies from annoying to illegal and/or behaviour that violates rules and regulations of a governing organization, such as the University. Unethical behaviour impacts negatively on other people, even if it is allowed under the strict rule of the law or policies and procedures of the University.
The University rules allow students to add or drop a course before a specified add/drop date and this allows a student to sample a course before deciding whether to take it. In full semester courses, a student can drop a course and be conveniently replaced by a wait-listed student who merely has to work a bit harder to cover the material from the first few lectures that were missed. The incoming student is usually already on campus and doesn't have to make special travel plans to enter the course. So, dropping a regular full-semester course is not unethical behaviour.
The situation changes with a Block Week course for two reasons. First, Block Week takes place so quickly, that a replacement student needs to be able to react within minutes of an opening becoming available to avoid missing a full day (20%) of the course. Second, students typically make travel plans well in advance of Block Week, so that a replacement student is rarely able to be on campus on short notice. Moreover, it is very hard to quickly work through a waiting list of students who might be trying to get into the course, when only one student can be offered an opening at a time.
This doesn't necessarily mean that dropping a Block Week course on short notice (within a month of the start of the course) is unethical. But, when there are many more students qualified to take the course than there are seats available for registration, dropping a Block Week course on short notice has the effect of preventing a qualified student from taking the course. This behaviour is allowed under University regulations, but is unethical because of the negative impact on fellow students.
The Trading and Market Data Management Class is restricted to 40 students because of the limited number of computers in the Haskayne Trading Lab. The course is often oversubscribed and it has not been possible to find replacement students on short notice in the few situations where students dropped the course mere days before the start of the course.