ORIE 5230 - Quantitative Trading Strategies

Fall. 3 credits. Letter grades only.

Enrollment limited to: financial engineering M.Eng. students in Manhattan.

Staff.

This course covers numerical techniques for quantitative trading in Finance. The main computational tool is Python. The computational techniques draw from interpolation, linear algebra, optimization, stochastic control, Monte Carlo simulation, queuing theory, finite difference methods, binomial trees, as well as statistical techniques such as regression, co-integration and principal components analysis. The applications include pricing, market microstructure, hedging and asset allocation for bonds, futures, equities and options. The focus is on theories that can be implemented in trading situations and the Interactive Brokers platform is used extensively for trading assignments.