ORIE 5630

Last Updated

  • Schedule of Classes - January 19, 2016 6:14PM EST
  • Course Catalog - January 19, 2016 6:21PM EST

ORIE 5630
Quantitative Trading Strategies

Course information provided by the 2015-2016 Catalog.

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.


Prerequisites/Corequisites Prerequisite: financial engineering M.Eng. students in Manhattan.

When Offered Fall.

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Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Graded

  • 12285 ORIE 5630   LEC 030

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  • Instruction Mode: In Person

    Enrollment limited to: M Eng financial engineers in Manhattan, NY.