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Course Offerings

Course Evaluation Results

Course Details

Spring 2016-2017
ORF 474   Graded A-F, P/D/F, Audit

Special Topics in Operations Research and Financial Engineering - High Frequency Markets: Models and Data Analysis

Robert F. Almgren

The goal is to discuss mathematical models surrounding electronic trading. It enables students to converse with the practitioners involved in high frequency markets, whether it be for trading, regulatory or other purposes. At the end of the course, students are expected to understand actual problems agents face on electronic exchanges and the mathematical tools used to deal with them. Emphasis is put on making the students comfortable with real high frequency data and surrounding models. The coding skills required are mild. We will code in R to be able to prototype ideas quickly and to leverage pre-existing statistical packages.

Sample reading list:
Irene Aldridge, High Frequency Trading
Joel Hasbrouck, Empirical Market Microstructure
D. Easly, M.Lopez de Prado and M. O'Hara, High Frequency Trading
Cartera, Jaimungal, Penalva, Algorithms and High Frequency Trading
Larry Harris, Trading and Exchanges Market Microstructure for Practioners

Reading/Writing assignments:
Homework due every other week

Mid Term Exam - 20%
Other Exam - 40%
Problem set(s) - 40%

Other Requirements:
Statistical, design or other software use required
Not Open to Freshmen.

Prerequisites and Restrictions:
ORF 309, ORF 405.

Schedule/Classroom assignment:

Class numberSectionTimeDaysRoomEnrollmentStatus
40408 L01 8:30 am - 9:50 am W Th   Robertson Hall   016   Enrolled:39 Limit:40
40411 B01 8:30 pm - 9:20 pm W   Sherrerd Hall   001   Enrolled:14 Limit:30
40412 B02 8:30 pm - 9:20 pm Th   Robertson Hall   016   Enrolled:25 Limit:30
40409 P01 7:30 pm - 8:20 pm W   Sherrerd Hall   001   Enrolled:16 Limit:30
40410 P02 7:30 pm - 8:20 pm Th   Robertson Hall   016   Enrolled:23 Limit:30