Basic Information
Most of The Trades in Financial Markets Today Are Executed By Computerized Algorithms in a High-frequency Framework. We Will Study Various Methods to Design Such Algorithms. Most of These Methods Originate in The Area of Stochastic Control, Including Variational And Dynamic Programing Methods. These Methods Will Be Used to Solve Models of Portfolio Liquidation and Market Making, Among Others. Learning Outcomes# Students Will Be Able To# 1.apply Variational and Dynamic Programing Methods to Solve Stochastic Control Problems That Arise From Algorithmic and High Frequency Trading. 2.apply The Stochastic Control Methods in Order to Analyse Variations Of The Models That Are Studied in The Course Such As Portfolio Liquidation and Market Making.
Faculty: Data and Decision Sciences
|Undergraduate Studies
|Graduate Studies
Pre-required courses
46868 - Foundations of Stochastic Processes or 94314 - Stochastic Models in Oper.research or 97510 - Continuous Time Models in Finance or 106429 - Stochastic Processes
Semestrial Information
Weekly Hours
2 Academic Credit • 2 Lecture Hours
Responsible(s)
Eyal Neumann
Notes
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הקורס יועבר באופן מקוון.
Registration Groups
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Weekly Hours
2 Academic Credit • 2 Lecture Hours
Responsible(s)
Eyal Neumann
Registration Groups
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|
Weekly Hours
2 Academic Credit • 2 Lecture Hours
Responsible(s)
Eyal Neumann
Registration Groups
|
|