Algo Trading

G63.2708.001 Algorithmic Trading and Quantitative Strategies
3 points.
Thursdays, 5:10-7 p.m.
WWH, Room 101

Petter N. Kolm
Office: Warren Weaver Hall, Room 628
kolm AT cims.nyu.edu
Web: www.cims.nyu.edu/~kolm

Lee Maclin
lee.maclin AT gmail.com

Teaching assistant:
Lin Li
Office: Warren Weaver Hall,
lilin AT cims.nyu.edu
Phone: (212) 998-3138

Office hours: TBD and by appointment

Special Dates:
January 24, first lecture
May 1, last lecture
May 8, final exam

Prerequisites: Capital Markets and Portfolio Theory, or equivalent.

Content:  In this course we develop a quantitative investment and trading framework.  In the first part of the course, we study the mechanics of trading in the financial markets, some typical trading strategies, and how to work with and model high frequency data.  Then we turn to transaction costs and market impact models, portfolio construction and robust optimization, and optimal betting and execution strategies.  In the last part of the course, we focus on simulation techniques, back-testing strategies, and performance measurement.  We use advanced econometric tools and model risk mitigation techniques throughout the course.

Course requirements: There will be several homework sets, approximately one every other week. Collaboration on homework is encouraged but registered students must write up and turn in their solutions individually. If you work together, please list collaborators on your homework. There will be one in-class final exam. Your grade will be based on the final exam (70%) and homework (30%).

Communication: Announcements, homework and other course related material will be posted on the NYU Blackboard Course Site at https://home.nyu.edu.

The Blackboard Course Site has message boards for the class. Please post any questions related to the homework on those message boards rather than emailing them to the instructors or the TA.

Recommended reading:
Handouts and/or references will be provided to class participants on each topic of the course. 

Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, by Joel Hasbrouck

Financial Modeling of the Equity Market: From CAPM to Cointegration, by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm

Trends in Quantitative Finance, by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm

Trading and Exchanges: Market Microstructure for Practitioners, by Larry Harris