Spring 2023 Mathematics GR5440 section 001

Price Impact Models and Applications to

Price Impact Models & App

Call Number 17156
Day & Time
Location
F 10:10am-12:40pm
413 Kent Hall
Points 3
Grading Mode Standard
Approvals Required None
Instructor Kevin Webster
Type LECTURE
Method of Instruction In-Person
Course Description

At the end of the course, students are expected to understand how to design live trading experiments, fit price impact models and apply price impact models to a broad set of quantitative strategies. Special emphasis is placed on acquiring the ability to communicate precise assumptions and actionable results to a general audience within the finance community. The class is divided into three modules: (a) a quick primer on trading, the role of price impact in quantitative finance and the database language kdb+ (b) real-life applications of price impact models within trading teams, including optimal execution, statistical arbitrage, and liquidity risk management (c) the design and study of live trading experiments using causal inference with applications to Transaction Cost Analysis (TCA) and high frequency trading.

Web Site Vergil
Department Mathematics
Enrollment 43 students (60 max) as of 5:06PM Thursday, March 28, 2024
Subject Mathematics
Number GR5440
Section 001
Division Interfaculty
Open To GSAS
Campus Morningside
Note Priority to MAFN Students.
Section key 20231MATH5440G001