Algorithmic & quantitative trading webinar

Algorithmic & Quantitative trading

Learn @QuantInstiWebinar 14th March, 20135:30 pm to 6:30 pm ISTMr Nitesh Khandelwal

© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

Webinar agenda

Algorithmic Trading: Introduction The Changing Trading Environment:

Skills QuantInsti’s Executive Program in

Algorithmic trading (E-PAT) Algorithmic Trading Platform Architecture A peek into Algorithmic Trading Platform Q&A


Electronic Trading:

What is Algorithmic Trading


Electronic Trading: Sending orders over an electronic network instead of calling a broker




Algorithmic Trading:




Algorithmic Trading: Using Algorithms to generate trading signals and manage portfolios





High-Frequency Trading:





High-Frequency Trading: A special category of algorithmic trading characterized by unusually brief position-holding periods, low-latency response times, and high trading volumes in a day






Quant Trading:






Quant Trading: Usage of advanced statistical methodologies - no user discretion Could be low frequency / high frequency Could be manual / electronic



Global Trends in Algorithmic Trading

HFT Contribution in US Equities

Source: Celent (Marsh & McLennan), 2011


Global Trends in Algorithmic Trading

HFT contribution across geographies

Source: Celent (Marsh & McLennan), 2011


Become an Algo trader


E-PAT course structure

Core content

Statistics and Econometrics

Financial Computing & Technology

Algo & Quant trading


E-PAT Course Structure: Statistics and Econometrics

Statistics & Econometrics

Advanced Statistics

Correlation vs. Cointegration

ARIMA, ARCH-GARCH Models

Multiple Regression

Time Series Analysis

Stochastic Math

Causality

Forecasting

Basic Statistics

Probability & Distribution

Statistical Inference

Linear Regression


E-PAT course structure: Financial Computing & Technology

Financial Computing & Technology

Programming

Intro to Programming Language(s)

Programming on Algorithmic Trading Platforms

Linear Regression

Statistical Tools

Excel & VBA

Financial Modeling using R

Using R & Excel for Back-testing

Technology for Algorithmic Trading

System Architecture

Understanding an Algo Trading Platform

Handling HFT Data


E-PAT course structure: Algorithmic & Quantitative Trading

Algo & Quant Trading

Trading Strategies

Statistical Arbitrage

Market Making Strategies

Execution Strategies

Forecasting & Artificial Intelligence Based Strategies

Machine readable News based Strategies

Trend following Strategies

Derivatives & Market Microstructure

Option Pricing Models

Time Structure of Volatility

Dispersion Trading

Volatility Forecasting & Interpretations

Managing Risk using Greeks

Position Analysis

Order Book Dynamics

Market Microstructure

Desk Operations

Hardware & Network

Regulatory Framework

Exchange Infrastructure & Financial Planning (Costing)

Handling Risk Management in Automated systems


E-PAT course mapping


Program Delivery

Part-time program 3 hrs sessions on Saturday & Sunday both 4 months long program 100 contact hours including practical

sessions Convenience - webinars Open Source Virtual Classroom integration Student Portal


Algorithmic Trading Platform: A Sneak Peek

Source: marketcetera


Algorithmic Trading: System Architecture

Application

Order Manager

Market Data

Complex Event Processing engine

Exchange 1

Storage

Application

Server Exchange

Strategy Settings UI

State Mgmt (PnL + Position)

Order / Execution Monitor

Within application RMS

Maths Calc

RMS

Admin Monitor

Exchange 2

FIX

FIX

Data Normalizer

Order Router

Back office record

MktData Store

Event History

Adaptor for third party apps – R, Matlab, etc

Data Retrieval

Data Vendor

Replay of stored data

Simulator exchange


Going beyond the curriculum

Faculty supervision Placement assistance Forum


Coming dates

http://www.quantinsti.com/importantdates.html




Q&A Please type your questions in the chat

window.


Thanks! For more information visit:

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Algorithmic & quantitative trading webinar

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Transcript of Algorithmic & quantitative trading webinar