Tentative lecture schedule:
- Sep 14: Introduction
Read:
Barber and Odean, Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors
Charles Leiserson’s lecture on performance engineering
- Sep 21: Limit order books and low-latency techniques
Read:
Survey of limit order books
High Performance Trading Systems in C++, Carl Cook (Optiver)
- Sep 28: Guest lecture from Alex Urben, Cubist Systematic Strategies, on high-frequency trading
Books:
Building Low Latency Applications with C++ by Sourav Ghosh, code examples
Aldridge, High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems
Articles:
The World of High-Frequency Algorithmic Trading
Quantitative Trading Summary
Quantitative Brokers trading strategies white papers
Menkveld’s academic papers (Google Scholar)
Martin Thompson’s principle of mechanical sympathy
- Oct 5: Guest lecture from Andy Myers, Jane Street, on Normal Accidents
Read:
Knight Capital Group’s 2012 stock trading disruption
SEC’s coverage of the Knight Capital incident, particularly the section starting “FACTS” on page 5
Optional: Charles Perrow’s book, Normal Accidents
Additional readings:
Richard Cook, How Complex Systems Fail
FAA Lessons Learned on the de Havilland Comet (the square-windows story)
Podcasts:
Signals & Threads, Solving Puzzles in Production (production engineering, drills, blameless culture)
Signals & Threads, Why Testing is Hard and How to Fix It
- Oct 14: Guest lecture from Chris Casinghino, Jane Street, on OxCaml
Read:
Browse oxcaml.org for background on the project.
The documentation section links to papers, which will mainly interest those with a programming languages or type theory background.
- Oct 19: Guest lecture from Ulysses Butler, NYU, on FPGAs and hardware design
- Oct 26: Guest lecture from Alexander Moss, Virtu, broadly on options trading
Read:
Introductory chapter of John C. Hull, Options, Futures, and Other Derivatives (available on hourly loan from NYU Libraries)
Matt Levine’s article on the Jane Street Options Trade (available through NYU Libraries)
- Nov 2: Futures and their relationship to equities
Read:
Chapter 1 of Donald MacKenzie, Trading at the Speed of Light (available online from NYU Libraries)
cISP: A Speed-of-Light Internet Service Provider
- Nov 9: Guest lecture from Nirav Atre, Stanford University, on White Rabbit Clock Synchronization
Read:
White Rabbit
- Nov 30: Guest lecture from Zach Banks, Databento, on historical data and backtesting