Academic Catalog

CENG785 ALGORITHMIC TRADING AND QUANTITATIVE STRATEGIES

Course Code: 5710785
METU Credit (Theoretical-Laboratory hours/week): 3(3-0)
ECTS Credit: 8.0
Department: Computer Engineering
Language of Instruction: English
Level of Study: Graduate
Course Coordinator: Assist.Prof.Dr SELM TEMZER
Offered Semester: Fall Semesters.

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, networking 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.