As technology has evolved, so has the challenge in developing trading strategies. This course provides a computational overview of active portfolio management and dynamic investment strategies made possible through high frequency, algorithmic and automated trading.
- Algorithmic trading, informatics and optimal execution
- Data analytics and models of transactions data
- Limit order book dynamics in electronic exchanges
- Market making and inventory control
- Risk management and regulatory issues
- Statistical trading rules and performances evaluation
STATS240P or equivalent