CSCI-GA.3033-110 Technologies for finance

This is a new masters seminar that will explore topics at the intersection of finance and computing technologies. The course will include a mix of lectures from the instructor, lectures from invited speakers, and assigned readings. We will post more details on the course web site in the coming weeks.

Logistics:

Location: 251 Mercer St (Warren Weaver) Room 102
Time: 7:10 PM - 9:10 PM Tuesdays
Office hours: 3 to 5 pm on Thursdays or by appointment
Instructor: Anirudh Sivaraman (anirudh@cs.nyu.edu)
Graders: Muhammad Haseeb (mh6218@nyu.edu) and Tao Wang (tw1921@nyu.edu)

Tentative lecture schedule:

Jan 23: Overview
Jan 30: HFT overview
Read chapter 1 from the HFT book, skim chapters 2 and 4.
Feb 6: Low-latency communication for HFT
Read chapter 5 from the HFT book and cISP.
You can skim any non-technical portions of chapter 5 and the appendix of cISP
Feb 13: Technological aspects of exchanges
Read:
Huygens clock-synchronization algorithm
CloudEx
White Rabbit
Feb 20: Guest lecture from Darko Kirovski, Jump Trading
Read Black-Scholes paper
Feb 27: Guest lecture from Sanjay Bhudia, Millenium
Read:
Sanjay Bhudia Lecture 1 readings
Mar 5: Guest lecture from Alexandre Urben, Cubist Systematic Strategies
Read:
Low Latency Applications with CPP, code examples (e-book available from NYU libraries)
The World of High-Frequency Algorithmic Trading
Quantitative Trading Summary
Mar 12: Guest lecture from Ofir Azoulay-Rozanes and Bobbie Chen, Anjuna Security
Speakers will be remote, and we’ll hold the lecture on Zoom
Read:
Secure Content-Based Routing Using Intel Software Guard Extensions
Sections 3 of 4 of Machine Learning with Confidential Computing
Anjuna Technical Whitepaper for Intel SGX
Mar 19: spring break, no lecture
Mar 26: Distributed Systems in Finance, PL in finance, AI in finance
Read:
Nezha, you can skip appendices
Caml trading – experiences with functional programming on Wall Street
BloombergGPT: A Large Language Model for Finance, you can skip appendices
Apr 2: Guest lecture from Christina Qi, Databento and formerly Domeyard
Read:
HBR Case Study on Domeyard
Apr 9: Guest lecture from Carter Page, Two Sigma
Read:
Brewer’s conjecture and the feasibility of consistent, available, partition-tolerant web services
Perspectives on the CAP theorem
Optional: Inside the Black Box: A Simple Guide to Quantitative and High-Frequency Trading
Apr 16: Guest lecture from Ciamac Moallemi, Columbia Business School
Read:
Tim Roughgarden’s overview of blockchains
Free Exchange is Not Free
Automated Market Making and Loss-Versus-Rebalancing
Apr 23: Guest lecture from Tucker Balch, JP Morgan Chase AI Research
Read:
The Importance of Low Latency to Order Book Imbalance Trading Strategies
Optional: Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
Apr 30: Guest lecture from Sanjay Bhudia, Millenium
Read:
U.S. SEC Expands Dealer Registration Requirements, Including to Certain Private Funds
US SEC adopts Treasury market dealer rule as market overhaul continues
Wall Street regulator proposes to expand the definition of broker-dealers
Optional: Sanjay Bhudia Lecture 2 readings
Securities Trading: Principles and Procedures, book draft by Prof. Joel Hasbrouck at NYU Stern

Some resources and readings we’ll be referring to:

The HFT book: Trading at the Speed of Light by Donald MacKenzie, available online from the NYU library
Recent economics literature on HFT: The HFT arms race and Frequent Batch Auctions
Multicast and the Markets
BloombergGPT: A Large Language Model for Finance

Grading scheme:

Grading will be based on a combination of:

50%: Class participation: students are expected to attend every lecture starting with lecture 2 in person. 2 absences in total will be excused for either illness or extenuating circumstances. In both cases, please let us know so that we may excuse the absence. Per university policy, we do not need a doctor’s note for the illness. If you are unsure about what constitutes an extenuating circumstance, please reach out to either us or the director of graduate studies. Participation grade will be proportional to the number of classes attended.
50%: 10 2-page reports summarizing 10 lectures You can submit more than 10 reports if you want to make up for points lost on other reports, but you can not use this to make up for points lost on participation. Reports must summarize the readings for a lecture and are due at 7 pm on the day of the lecture, i.e., right before lecture starts. More details on the report format are available here

Prerequisites:

A good understanding of computer systems at the undergrad level: OS (CSCI-UA.0202), networks (CSCI-UA.0480-062), CSO (CSCI-UA.0201). If you are unsure, please reach out to the instructor.