ORIE 5257 - Special Topics in Financial Engineering VI

Fall. 2 credits. Letter grades only (no audit).

Enrollment limited to: ORIE M.Eng. financial engineering students. Offered in New York City at Cornell Tech.

G. Nuti.

Algorithmic trading and ML-powered tools have impacted all asset classes: beyond the most liquid (and well-studied) equity markets, we have observed a growing number of assets (such as bonds, foreign exchange, crypto, on-line adverts, etc.) that are now primarily traded electronically, yet not necessarily via a classical exchange. In this course, we will cover the tools required to compete in FX, Rates and Crypto markets, covering the main protocols (price-streams, second-price auctions, etc.) with particular emphasis on how to apply the latest ML techniques to gain a competitive edge.