MS&E 448 - Big Financial Data for Algorithmic Trading

Announcements

Schedule

  • Week 1: 04/03 First class, Overview of Algorithmic Trading and presentation of projects, forms are due on 04/08 by 11:59pm

  • Weeks 2-9: Group meetings to follow lectures

  • Week 2: 04/10 Groups are announced, lecture on Financial Market Dynamics and Models followed by first individual group meetings

  • Week 3: 04/17 Guest Lecture on Hedge Funds (T. Beder)

  • Week 4: 04/24 Guest Lecture on Trading and Markets (G. Anders and A. Narajan)

  • Week 5: 05/01 Guest Lecture on Thesys and HFT (C. Ray)

  • Week 6: 05/08 Midterm presentations

  • Week 7: 05/15 Guest Lecture on Automating Data Science (D. Andre)

  • Week 8: 05/22 Lecture on Signal Combination and Portfolio Optimization

  • Week 9: 05/29 Guest Lecture on Risk Factors and Risk Management (G. Kapoustin)

  • Week 10: 06/05 Final presentations

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