Algorithmic Trading and Stochastic Control (MAC 572)

Welcome to the webpage of the course Algorithmic Trading and Stochastic Control. The course will take place in person at the university, but the lecture notes and problem sheets are available online. The course will cover the following topics:

• stochastic optimal control and stopping
• optimal execution with continuous trading
• market making
• pairs trading and statistical arbitrage

Please do not forget to sign up for the ILIAS group of the course, and note that the course takes place in the second half of the semester.

Lecturer: Prof. Dr. David Prömel

Tutor: Martin Bergerhausen