ORIE 5259

Last Updated

  • Schedule of Classes - September 22, 2025 1:06PM EDT

ORIE 5259
Market Microstructure and Algorithmic Trading: Theory and Practice

Course information provided by the 2025-2026 Catalog.

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.


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

Last 4 Terms Offered 2025SP

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Syllabi: none

  •   Seven Week - Second. 

  • 1.5 Credits GradeNoAud

  • 10647 ORIE 5259   LEC 001

  •  
    • MW
    • Mar 11 - May 5, 2026

    • 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.