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.


Tentative lecture schedule:

  1. Jan 23: Overview
  2. Jan 30: HFT overview
    Read chapter 1 from the HFT book, skim chapters 2 and 4.
  3. 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
  4. Feb 13: Technological aspects of exchanges
    Huygens clock-synchronization algorithm
    White Rabbit
  5. Feb 20: Guest lecture from Darko Kirovski, Jump Trading
    Read Black-Scholes paper
  6. Feb 27: Guest lecture from Sanjay Bhudia, Millenium
    Sanjay Bhudia Lecture 1 readings
  7. Mar 5: Guest lecture from Alexandre Urben, Cubist Systematic Strategies
    Low Latency Applications with CPP, code examples (e-book available from NYU libraries)
    The World of High-Frequency Algorithmic Trading
    Quantitative Trading Summary
  8. 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
    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
  9. Mar 19: spring break, no lecture
  10. Mar 26: Distributed Systems in Finance, PL in finance, AI in finance
    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
  11. Apr 2: Guest lecture from Christina Qi, Databento and formerly Domeyard
    HBR Case Study on Domeyard
  12. Apr 9: Guest lecture from Carter Page, Two Sigma
    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

  13. Apr 16: Guest lecture from Ciamac Moallemi, Columbia Business School
    Blockchain overview
    Free Exchange is Not Free
    Automated Market Making and Loss-Versus-Rebalancing
  14. Apr 23: Guest lecture from Tucker Balch, JP Morgan Chase AI Research
    The Importance of Low Latency to Order Book Imbalance Trading Strategies
    Optional: Get Real: Realism Metrics for Robust Limit Order Book Market Simulations
  15. Apr 30: Guest lecture from Sanjay Bhudia, Millenium
    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:

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

Grading scheme:

Grading will be based on a combination of:

  1. 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.

  2. 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


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.

Related courses elsewhere:

  1. CS349F at Stanford
  2. 15.S08 at MIT