ORIE 5259

Last Updated

  • Schedule of Classes - October 15, 2026 7:07PM EDT

ORIE 5259
Market Microstructure and Algorithmic Trading: Theory and Practice

Course information provided by the 2026-2027 Catalog.

Modern financial markets have evolved to offer a variety of methods to trade and interact withother participants. Seemingly simple, the different microstructures can create opportunities for improved execution. Alongside the rise of complex market structures, algorithmic trading has become more sophisticated and increasingly reliant on AI & ML models: we introduce the core concepts of algorithmic execution, spanning the full spectrum of trading horizons, from High Frequency market-making to strategies that aim to efficiently execute large orders.


Enrollment Information Enrollment limited to: Operations Research and Information Engineering (ORIE) Master of Engineering (MEng) students, with priority given to students enrolled in the Financial Engineering Concentration.

Last 4 Terms Offered 2026SP, 2025SP

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Syllabi: none

  •   Seven Week - Second. 

  • 1.5 Credits GradeNoAud

  • 15563 ORIE 5259   LEC 001

  •  
    • MW
    • Mar 17 - May 11, 2027

    • Nuti, G

      Stoikov, S

  • Instruction Mode: Distance Learning-Synchronous