See the list of specialized courses offered by the Agricultural and Consumer Economics department for OFOR students. Aside from these courses, our students are encouraged to take courses in other departments at UIUC.
ACE 427: Commodity Price Analysis
A comprehensive and in-depth survey of commodity price analysis with emphasis on the fundamental factors affecting prices of agricultural products; sources of information relating to production and demand factors; government activities as they relate to prices of agricultural products; technical analysis of agricultural product prices; and market efficiency and forecasting.
ACE 428:Commodity Futures and Options
Development of futures trading; operation and governance of commodity exchanges; economic functions of futures trading; operational procedures and problems in using futures markets; public regulation of futures trading; evaluation of market performance. 3 undergraduate hours. 3 graduate hours.
ACE 520: Time Series Econometrics for Price Analysis
This graduate course teaches estimation, testing, and forecasting of time series models. The course encompasses univariate and multivariate time series models and includes ARMA, GARCH, Unit Roots, VAR, Impulse-Response Function, Cointegration, and Error Correction Modeling. Emphasis is placed on economic applications.
The field of time series econometrics has exploded in the last decades, and there is not enough time in a quarter course to broadly cover all important contributions. Consequently, we will often discuss and present results without formal proof.
ACE 527: Advanced Price Analysis
Study of methods used to analyze factors affecting agricultural prices; analysis of agricultural prices and price movements with respect to time, space, and form; and examination of methods of price forecasting and techniques of time series analysis.
ACE 528: Research in Futures Markets
Research literature on commodity futures and options markets, both theoretical and empirical; topics include: supply of storage, basis models, theory of the firm and hedging under uncertainty, optimal hedging, speculative returns, market performance, pricing efficiency, option pricing, and market microstructure.
FIN 554: Algorithmic Trading Systems Design and Testing
Provides a detailed research process and tools for replicating, assessing, conceptualizing, and developing systematic trading strategies. Students will apply their knowledge in hands-on projects to replicate and evaluate existing research and to create and evaluate a new strategy model. Students will use the R Language for Statistical Computing and Graphics to replicate academic research and evaluate the claims made in papers. Students will also construct a non-trivial strategy from scratch, evaluate the power of each of its components, and examine the likelihood of overfitting. Projects are designed to mimic as closely as possible the day-to-day research activities of working strategy quants, so that students will have practical experience building, testing, and evaluating quantitative models.
FIN 556: Algorithmic Market Microstructure
Introduces the modern theoretical, empirical and institutional foundations of market microstructure and trading activity, with an emphasis on applications to algorithmic and high-frequency trading. The first part of the course addresses market microstructure and the algorithmic implementation of traditional microstructure-inspired tasks such as minimizing execution costs. The second part of the course proceeds to examine actual algorithmic strategies, and ultimately high-frequency trading. Recurrent themes throughout the course will be the use of economic theory to simplify computationally challenging problems, and the use of theory-driven structural models to construct more robust trading algorithms.
IE 421: High Frequency Trading Technology
Teaches students both the core concepts and underlying mechanics of, step by step, message by message, bit for bit, exactly how trillions of dollars in notional value are automatically traded daily around the globe, whether it is stocks, bonds, options, futures, currencies, crypto, etc. High Frequency Trading will provide students with an exciting introduction both to the modern world of automated finance and to many exciting technologies that power it. Where does the “actual” real-time price of a particular asset come from at any point in time? How exactly is it being calculated and by who or what? Is there even a single price or are there multiple, and are any of those prices actually correct? Just how fast can modern traders process market data or execute trades and how do they accomplish this?