Thursdays, 5:10-7 p.m.
Petter N. Kolm
Office: Warren Weaver Hall, Room 628
Email: kolm AT cims.nyu.edu
Email: lee.maclin AT gmail.com
Office: Warren Weaver Hall,
Email: lilin AT cims.nyu.edu
Phone: (212) 998-3138
Office hours: TBD and by appointment
January 24, first lecture
May 1, last lecture
May 8, final exam
Prerequisites: Capital Markets and Portfolio Theory, or equivalent.
Content: In this course we develop a quantitative investment
and trading framework. In the first part of the course, we study the
mechanics of trading in the financial markets, some typical trading
strategies, and how to work with and model high frequency data. Then
we turn to transaction costs and market impact models, portfolio
construction and robust optimization, and optimal betting and execution
strategies. In the last part of the course, we focus on simulation
techniques, back-testing strategies, and performance measurement. We
use advanced econometric tools and model risk mitigation techniques
throughout the course.
Course requirements: There will be several homework sets,
approximately one every other week. Collaboration on homework is
encouraged but registered students must write up and turn in their
solutions individually. If you work together, please list collaborators
on your homework. There will be one in-class final exam. Your grade
will be based on the final exam (70%) and homework (30%).
Communication: Announcements, homework and other course related material will be posted on the NYU Blackboard Course Site at https://home.nyu.edu.
The Blackboard Course Site has message boards for the class. Please
post any questions related to the homework on those message boards
rather than emailing them to the instructors or the TA.
Handouts and/or references will be provided to class participants on each topic of the course.
Empirical Market Microstructure: The Institutions, Economics, and Econometrics of Securities Trading, by Joel Hasbrouck
Financial Modeling of the Equity Market: From CAPM to Cointegration, by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Trends in Quantitative Finance, by Frank J. Fabozzi, Sergio M. Focardi, Petter N. Kolm
Trading and Exchanges: Market Microstructure for Practitioners, by Larry Harris