ORIE 5259

Last Updated

  • Schedule of Classes - November 16, 2024 7:33PM EST
  • Course Catalog - November 16, 2024 7:07PM EST

ORIE 5259
Market Microstructure & Algorithmic Trading: Theory and Practice

Course information provided by the Courses of Study 2024-2025.

Modern financial markets have evolved to offer a variety of methods to trade and interact withother participants. Seemingly simple, the different microstructures can create opportunities for improved execution. Alongside the rise of complex market structures, algorithmic trading has become more sophisticated and increasingly reliant on AI & ML models: we introduce the core concepts of algorithmic execution, spanning the full spectrum of trading horizons, from High Frequency market-making to strategies that aim to efficiently execute large orders.

When Offered Spring.

Permission Note Enrollment limited to: ORIE MEng students, with priority given to students enrolled in the Financial Engineering Concentration.

Comments Highly recommended prerequisite: two semesters of probability and statistics (similar to ENGRD 2700 and ORIE 3500) and have robust knowledge of Python.

View Enrollment Information

Syllabi: none

  •   Seven Week - Second. 

  • 1.5 Credits Graded

  • 18478 ORIE 5259   LEC 001

    • MW
    • Mar 12 - May 6, 2025

    • Nuti, G

      Stoikov, S

  • Instruction Mode: Distance Learning-Synchronous
    Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (MEng) students. Priority given to: Financial Engineering students.

    Department Consent Required (Add)