ORIE 5230

Last Updated

  • Schedule of Classes - November 21, 2024 7:58PM EST
  • Course Catalog - November 21, 2024 7:07PM EST

ORIE 5230
Quantitative Trading Strategies

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.

View Enrollment Information

Syllabi: none

  •   Regular Academic Session. 

  • 2 Credits Graded

  •  6763 ORIE 5230   LEC 030

  •  
    • R Cornell Tech
    • Aug 26 - Dec 9, 2024

    • Stoikov, S

  • 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.