ORIE 5280

Last Updated

  • Schedule of Classes - June 19, 2018 12:09PM EDT
  • Course Catalog - March 23, 2018 2:31PM EDT

ORIE 5280
Financial Data Practicum

Course information provided by the 2017-2018 Catalog.

The course covers practical applications of data science to finance. The topics include:financial data management (sampling, labeling, weighting, fractional differentiation), modelling (ensemble methods, cross-validating (CV) in finance, feature importance, hyper-parameter tuning, backtesting (bet sizing, historical backtests, synthetic data, strategy risk),  ML-based asset allocation, financial features (structural breaks, entropy features, microstructural features),  how to design, develop and implement quantitative investment strategies, alpha models: momentum, value and quality factors, backtesting, risk models and mean-variance optimization, transaction costs modeling, market impact estimation, trade execution.


Permission Note Enrollment limited to: ORIE MEng Financial Engineering students in New York City.

When Offered Spring.

View Enrollment Information

Syllabi: none

  •   Regular Academic Session. 

  • 3 Credits Graded

  • 12256 ORIE 5280   LEC 001

  • Instruction Mode: In Person

    Taught in NYC. Classes are restricted to MEng FE students in New York or by the permission of the instructor. For more information email Victoria Averbukh at vza1@cornell.edu.

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