IEORE4729 Model Based Trading: Computational Models of Analysis & Execution


Instructor: Ken Gleason

Additional Information: IEOR_E4729_Syllabus_Spring_2018.pdf

This course will cover a variety of topics intended to develop a deeper understanding of how trade execution strategies are constructed, as well as hands-exposure to some of the programming tools used in the construction, calibration, and statistical analysis of trading strategies.  While the class primarily focuses on implementation and microstructure issues associated with single-asset strategies, we may delve into more complex multi-asset topics if time permits.

Prerequisites: IEOR E4733 Algorithmic Trading is recommended but not required.




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