We present a many-body theory of the non-linear optical response of the Quantum Hall system. This theory describes the role of the cold, strongly correlated, two-dimensional electron gas (2DEG) in the ultrafast dynamics. We discuss the manifestations of intraband and interband coherences induced by the collective 2DEG excitations in the coupled photocarrier-Quantum Hall system. We compare to transient three-pulse four-wave-mixing experiments. © 2006 WILEY-VCH Verlag GmbH & Co. KGaA,.