ORIE 5230

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  • Schedule of Classes - September 10, 2024 10:17AM EDT
  • Course Catalog - September 10, 2024 9:48AM EDT
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ORIE 5230
Quantitative Trading Strategies

Course information provided by the Courses of Study 2024-2025. Courses of Study 2024-2025 is scheduled to publish mid-June.

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
    • Aug 26 - Dec 9, 2024

    • Stoikov, S

  • 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 (vza) and the instructor.