**Agency Trading**

**Agency Trading 1 – VWAP Strategies**

The first agency trading case is designed to introduce traders to order-driven markets, to order types and to VWAP strategies. For example, one can illustrate how using limit orders instead of market orders allows the trader to capture the bid ask spread instead of paying the bid ask spread. The market is designed to be extremely liquid so students will not be exposed to liquidity risk.

**Agency Trading 2 – Limited Liquidity**

The second agency trading case builds on the AT1 case by adding liquidity risk. In this simulation, the market will be extremely illiquid so students should use limit orders to execute their trades at desirable prices (that is, avoid price impact). Students will also be under a time constraint, and will potentially need to use some market orders in order to receive order fills in a timely manner.

**Liability Trading**

**Liability Trading 1 – Trading as a Principal**

The first liability trading case introduces students to taking on price and liquidity risk by accepting a large block trade and requiring them to unwind the position in the open market. While closing the position, they will cause price impact due to limited (but reasonably high) liquidity in the market.

**Liability Trading 2 – Orders in Illiquid Markets**

The second liability trading case is considerably more difficult because it forces students to trade directly with each other in order to unwind their positions. A time constraint is also added, requiring that the trades be closed out by the middle and end of the trading session.

**Liability Trading 3 – Dynamic Order Arrival**

The third liability trading case is a dynamic version of the LT2 case; students will receive their orders for different stocks at unknown intervals.

**Liability Trading 4 – Liability Trading Capstone**

The fourth liability trading case adds multiple marketplace functionality and requires students to seek best execution while weighing different commission and passive order rebate schedules.

**Arbitrage**

**Price Discovery 3 – Arbitrage Pricing**

The third price discovery case builds on the previous cases by adding a second company and an ETF. The ETF can be priced on an arbitrage-free basis using the market values of the two individual companies. Students should observe how the riskiness and distribution for the ETF is considerably different from the individually-priced companies.

**Liability Trading 4 – Liability Trading Capstone**

The fourth liability trading case adds multiple marketplace functionality and requires students to seek best execution while weighing different commission and passive order rebate schedules.

**Algorithmic Trading 1- Algorithmic Arbitrage**

The first algorithmic trading case introduces students to algorithmic trading by providing a simple example of exploiting an arbitrage opportunity for one stock traded on two different exchanges.

**Market-Making**

**Liability Trading 4 – Liability Trading Capstone**

The fourth liability trading case adds multiple marketplace functionality and requires students to seek best execution while weighing different commission and passive order rebate schedules.

**Algorithmic Trading 2 – Algorithmic Market Making**

The second algorithmic trading case is considerably more difficult because it forces students to build on skills learned in the Algorithmic Arbitrage (ALGO1) case and motivate students to build a market-making algorithm that generates profits by capturing the bid-ask spread.

**Smart-Order Routing**

**Liability Trading 4 – Liability Trading Capstone**

The fourth liability trading case adds multiple marketplace functionality and requires students to seek best execution while weighing different commission and passive order rebate schedules.

**Algorithmic Trading 3 – Smart Order Routing**

The third algorithmic trading case will challenge students to build an algorithm to manage the liquidity risk associated with block trades/tender offers.