2013-2014 Undergraduate and Graduate Bulletin (with addenda) 
    
    Oct 16, 2018  
2013-2014 Undergraduate and Graduate Bulletin (with addenda) [ARCHIVED CATALOG]

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FRE-GY 7251 High Frequency Trading & Microstructure

1.5 Credits
Algorithmic trading refers to the utilization of special computer programs in an order management system that restructure an order into a sequence of sub-orders based on the dimensions of submission time, price, size, and side. The goal of this course is to survey several algorithmic strategies used by financial institutions and to understand their implementation in the context of order management systems and standard financial protocols (such as FIX and FIXatdl). Student teams will prepare and present projects or case studies applying the concepts covered in class.

Prerequisite(s): FRE-GY 6153  and FRE-GY 7221  and matriculation into a graduate program sponsored by the Department of Finance & Risk Engineering, or permission of the Department
Weekly Lecture Hours: 1.5 | Weekly Lab Hours: 0 | Weekly Recitation Hours: 0



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