Master’s in High Frequency Finance

I have been discussing with some potential academic partners the concept for a new graduate program in High Frequency Finance.  The idea is to take the concept of the Computational Finance program developed in the 1990s and update it to meet the needs of students in the 2010s.

The program will offer a thorough grounding in the modeling concepts, trading strategies and risk management procedures currently in use by leading investment banks, proprietary trading firms and hedge funds in US and international financial markets.  Students will also learn the necessary programming and systems design skills to enable them to make an effective contribution as quantitative analysts, traders, risk managers and developers.

I would be interested in feedback and suggestions as to the proposed content of the program.

About Jonathan

Dr Jonathan Kinlay is the founder and CEO of Systematic Strategies, LLC, a systematic hedge fund that deploys high frequency trading strategies using news-based algorithms. Dr Kinlay is also the founder and CEO of Algorithmic Execution, LLC, a New-York based broker dealer specializing in algorithmic trading solutions for high frequency trading firms. Dr Kinlay, was the founder and General Partner of the Caissa Capital hedge fund, whose volatility arbitrage strategies were developed by Dr Kinlay's investment research firm, Investment Analytics. Caissa, which managed $400M in assets, was ranked by FIMAT as the top performing fund in its class in 2004. Dr Kinlay went on to establish the Proteom Capital, whose statistical arbitrage strategies were based on pattern recognition techniques used in DNA sequencing. Dr Kinlay was formerly Global Head of Model Review at the US investment bank Bear Stearns. Dr Kinlay holds a PhD in economics and has held positions on the faculty at New York University Stern School of Business, Carnegie Mellon and Reading Universities. Dr Kinlay is a regular conference speaker and writer on investment research, hedge fund investing and quantitative finance. Dr Kinlay was a member of England's chess team that won gold in the World Student Olympiad in Mexico in 1978. He is the son of Fleet Street editor James Kinlay and father of British actress Antonia Kinlay.
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6 Responses to Master’s in High Frequency Finance

  1. Paul Tozour says:

    Looks terrific. When can I take it?

  2. Adam says:

    Would take it in a heartbeat – include a refresher on calc, stats possibly beforehand for those of us who have been out of the classroom for a little while?

  3. Jun Chen says:

    I would definitly interested in joining this program if it as a part-time program!

    Before it is availiable, would you please give some advice on how to learn algo trading and HFT systematically? would you please give the steps and resources?


  4. nicolae says:

    looks a very good idea .What university offer such a programme?
    I suggest to do an online master as a lot of people is working but getting the master is always a good stuff.

  5. Jonathan … if you can press it in 12 months, it will make it hard, but serious ;o) …. I would any recommend to take part of it …. of course.

  6. Madaliso Mulaisho says:

    Dear John,

    It would seem to me that a useful component would be on data preparation and filtering (by this I mean cleaning), for both historical data and real-time data. Especially given latency constraints, flash-crashes/mini-flash crashes, broken trades, etc., designing a filter that works effectively and quickly in real-time can be a bit more of a challenge than one would naively think. I at least found this to be the case. Not sure if this is covered by your posted topics.

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