Algorithms in Finance

This is a BYOD course.

Please note the prerequisites for this course at the bottom of the course description.

With the rise of high frequency trading on stock markets during the past decade, algorithmic trading plays an increasingly important role on stock markets, for example to exploit mispricing. In the course students will learn to build financial algorithms based on clear and feasible valuation logic. Moreover, the role of financial algorithms in modern finance and fintech will be discussed, hereunder applications of machine learning and large language models to derive predictive signals from large multimodal datasets (enhancing traditional market and fundamental data with text-as-data). The course involves a guest lecture by an internationally leading firm in the field of market making.

The course is open to master’s students in Banking and Finance at U.S.E. The programming of algorithms will be done in Python, a programming language that is used more and more in firms that work with big data and therefore helpful for your future career. As entry requirement for this course, students should be able to demonstrate solid Python skills. These skills can be acquired by (i) successfully completing the Python module during the course Fintech Research Project and (ii) executing a considerable amount of self-study during this Python module. To enable the actual programming of algorithms, the first two course weeks comprise a number of Python workshops which build on this entry requirement. All participants should therefore have an interest in programming. In addition, they should feel comfortable and motivated to work in a small team that jointly develops financial algorithms.


In case online access is required for this course and you are not in the position to buy the access code, you are advised to contact the course coordinator for an alternative solution. Please note that access codes are not re-usable meaning that codes from second hand books do not work, as well as access codes from books with a different ISBN . Separate or spare codes are usually not available.