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THE WHARTON SCHOOL
UNIVERSITY OF PENNSYLVANIA
FNCE 399/890
TRADING AND INVESTING
Sections 401 and 402
Course Outline
Prof. Marshall E. Blume WCIT Rep – Charles Rejonis TA: Marcelo Maia
Tel: 215-898-7633 verdini@wharton.upenn.edu
Fax: 215-573-8084
investing@wharton.upenn.edu
Monday Wednesday
9/6 CLASS: 211 SH-DH
The Theory of Trading
Reading: Bagehot, Glosten and Milgrom,
Harris p. 320-321
9/11 CLASS: 211 SH-DH 9/13 CLASS: 211 SH-DH
Market Structure Description of First Project
Reading: Harris Chapters 2-7 Readings: Fama and French; Blume (2005)
Memo: Form Groups
9/18 CLASS: 211 SH-DH 9/17 LAB: F75 JMHH
Market Structure Continued Introduction to OTIS
Reading: Harris Chapters 2-7 Start of S&P Case
9/25 CLASS: 211 SH-DH 9/27 LAB: F75 JMHH
Short Test Trading Case 2
The Benefits of Trade
Reading: Harris Chapters 8-9 Memo: 9/28 is last day of order entry for S&P case
------------------------------------------------------------
4:30-6:00 Speaker: JMHH 270
Paul Bennett
NYSE
10/2 CLASS: 211 SH-DH 10/4 LAB: F75 JMHH
Stock Market Liquidity and Trading Costs Trading Case 3
Reading: Harris, chapters 10-12
10/9 CLASS: 211 SH-DH 10/11 LAB: F75 JMHH
S& P Presentations Trading Case 4
7/30/2011
Page 1 of 3
THE WHARTON SCHOOL
UNIVERSITY OF PENNSYLVANIA
FNCE 399/890
TRADING AND INVESTING
Sections 401 and 402
Course Outline
Prof. Marshall E. Blume WCIT Rep – Charles Rejonis TA: Marcelo Maia
Tel: 215-898-7633 verdini@wharton.upenn.edu
Fax: 215-573-8084
investing@wharton.upenn.edu
Monday Wednesday
10/16 CLASS: 211 SH-DH 10/18 LAB: F75 JMHH
Trading Desk Trading Case 5
Cases: T. Rowe Price, Numeric Investors
------------------------------------------------------------ Memo: Hedge Fund case begins and Strategy
4:30-6:00 Speaker: JMHH 270 write up is due
Steve Greenblatt
Liquidnet
10/23 FALL BREAK 10/25 FALL BREAK
10/30 CLASS: 211 SH-DH 11/1 CLASS: 211 SH-DH
Algorithmic Trading Hedge Fund Presentation by Groups
Reading: Berstsimas and Lo
------------------------------------------------------------
4:30-6:00 Speaker: JMHH 270
George Sofianos
Goldman Sachs
11/6 CLASS: 211 SH-DH 11/8 LAB: F75 JMHH
Algorithmic Trading Trading Case 6
Readings: Kissell and Malmut
------------------------------------------------------------
4:30-6:00 Speaker: JMHH 270
Frank Hathaway (Tentative)
NASDAQ Stock Market
11/13 CLASS: 211 SH-DH 11/15 CLASS: 211 SH-DH
Algorthmic Trading Short Selling and Basket Trades
Reading : Wald and Horrigan; Rakhlin and Reading: Geczy, Musto and Reed; Kavajecz and
Sofianos Keim
------------------------------------------------------------
4:30-6:00 Speaker: JMHH 270
Jack Bogle
The Vanguard Group
7/30/2011
Page 2 of 3
THE WHARTON SCHOOL
UNIVERSITY OF PENNSYLVANIA
FNCE 399/890
TRADING AND INVESTING
Sections 401 and 402
Course Outline
Prof. Marshall E. Blume WCIT Rep – Charles Rejonis TA: Marcelo Maia
Tel: 215-898-7633 verdini@wharton.upenn.edu
Fax: 215-573-8084
investing@wharton.upenn.edu
Monday Wednesday
11/20 CLASS: 211 SH-DH 11/22 CLASS: 211 SH-DH
Review Regulation NMS
Reading: Blume (2002)
Memo: 11/21 is last day of order entry
for Hedge Fund Case
4:30-6:00 EXAM
11/27 CLASS: 211 SH-DH 11/29 CLASS: 211 SH-DH
Vanguard The Defined Benefit Market
Case: The Vanguard Group Case: National Instrument Company
Pension Fund (A and B)
----------------------------------------------------
4:30-6:00 Speaker: JMHH 270
Scott Richard
Morgan Stanley
12/4 CLASS: 211 SH-DH 12/6 FINAL PRESENTATIONS
Legal Issues
Case: Atlanta Park vs. Hamlin
7/30/2011
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