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
- 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