MS&E 448 - Big Financial Data for Algorithmic Trading

2021 Announcements

• All lectures and meetings for this class will be done virtually using Zoom.

• The first class meeting for Spring 2021 is on Tuesday March 30th, 4:30 PM via Zoom.

• Please review the project proposals.

• Fill in the application form by Sunday April 4th by 11:59pm after reviewing the projects.

2021 Schedule

• Week 1: 03/30 First class, Overview of Algorithmic Trading and presentation of projects, forms are due on 04/04 by 11:59pm

• Weeks 2-9: Group meetings to follow lectures

• Week 2: 04/06 Groups are announced, lecture on Financial Market Dynamics and Models followed by first individual group meetings

• Week 3: 04/13 Guest Lecture (Greg Kapoustin, Founder, AlphaBetaWorks)

• Week 4: 04/20 Guest Lecture (Vikas Srivastava,  Chief Revenue Officer, Integral)

• Week 5: 04/27 Midterm presentations

• Week 6: 05/04 Guest Lecture (Mike Ryerson, Centiva)

• Week 7: 05/11 Guest Lecture (Mike Beller, CEO, Thesys Technologies)

• Week 8: 05/18 Guest Lecture on Advances in Equity Factor Models (Jose Menchero, Head of Portfolio Analytics Research, Bloomberg)

• Week 9: 05/25 Lecture on Portfolio Construction, Simulation, and Risk

• Week 10: 06/01 Final presentations. Final reports due on 06/06 by 11:59pm