ORIE 5230
Last Updated
- Schedule of Classes - November 1, 2024 7:44PM EDT
- Course Catalog - November 1, 2024 7:07PM EDT
Classes
ORIE 5230
Course Description
Course information provided by the Courses of Study 2024-2025.
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.
When Offered Fall.
Permission Note Enrollment limited to: Financial Engineering M.Eng. students in NYC.
Regular Academic Session.
-
Credits and Grading Basis
2 Credits Graded(Letter grades only)
-
Class Number & Section Details
-
Meeting Pattern
- R Cornell Tech
- Aug 26 - Dec 9, 2024
Instructors
Stoikov, S
-
Additional Information
Instruction Mode: In Person
Enrollment limited to: Master of Engineering (MEng) Financial Engineering students and Cornell Tech Operations Research and Information Engineering (ORIE) students. Cornell Tech ORIE students MUST receive permission from Victoria Averbukh (vza1) and the instructor.
Share
Or send this URL: