CENG509 ALGORITHMIC AND QUANTITATIVE TRADING
| Course Code: | 5710509 |
| METU Credit (Theoretical-Laboratory hours/week): | 3 (3.00 - 0.00) |
| ECTS Credit: | 8.0 |
| Department: | Computer Engineering |
| Language of Instruction: | English |
| Level of Study: | Graduate |
| Course Coordinator: | Assist.Prof.Dr SELİM TEMİZER |
| Offered Semester: | Fall Semesters. |
Course Objectives
Successful alumni of this course will have acquired a strong theoretical background and a large set of practical computational skills that are necessary for building up a competitive edge in utilizing modern trading strategies and technologies to capitalize on today’s sophisticated financial markets and trading instruments.
Course Content
Coverage of market structure, trading instruments, processes and trading in general, including necessary background and terminology. Presentation and illustration of electronic trading infrastructure, software tools, netwroking protocols, data structures and order execution. Theoretical and practical analysis of financial time series data. Building the necessary statistical framework for algorithmic decision making. Detailed coverage of basic and advanced trading strategies including high-frequency techniques and related requirements. Illustration of portfolio management schemes. Informative discussion of global and local markets and associated risks, compliances and regulations.
Course Learning Outcomes
Student that pass the course satisfactorily will be able to:
- Define, describe, illustrate, explain, articulate and elaborate on the fundamental terminology, concepts, principles and functionality of financial instruments, financial markets and market participants.
- Design computer-based algorithms and systems for electronic trading of financial instruments using industry-standard communication protocols.
- Understand the principles of and operate in a sound and solid algorithmic decision making framework.
- Build, analyze, compare and differentiate between computational models of financial engineering and trading by identifying, assessing and reasoning about their advantages and disadvantages.