Algorithmic & quantitative trading webinar

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This webinar gives a brief introduction to Algorithmic Trading followed by the changing skill sets that are required in the new age trading business by mapping the required skill sets. This is followed by Industry trends in Algorithmic and Quantitative Trading. It also gives a detailed view of how Quantinsti's Algorithmic and Quantitative Trading programme: Executive Programme in Algorithmic Trading can assist the participants aspiring to enter the domain of Algorithmic and Quantitative Trading.

Transcript of 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

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

Electronic Trading:

What is Algorithmic Trading

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

What is Algorithmic Trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

Algorithmic Trading:

What is Algorithmic Trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

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

What is Algorithmic Trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

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

High-Frequency Trading:

What is Algorithmic Trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

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

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

What is Algorithmic Trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

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

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:

What is Algorithmic Trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

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

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

What is Algorithmic Trading

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Global Trends in Algorithmic Trading

HFT Contribution in US Equities

Source: Celent (Marsh & McLennan), 2011

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Global Trends in Algorithmic Trading

HFT contribution across geographies

Source: Celent (Marsh & McLennan), 2011

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

Become an Algo trader

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

E-PAT course structure

Core content

Statistics and Econometrics

Financial Computing & Technology

Algo & Quant trading

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

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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

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

E-PAT course mapping

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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

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Algorithmic Trading Platform: A Sneak Peek

Source: marketcetera

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

Going beyond the curriculum

Faculty supervision Placement assistance Forum

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Coming dates

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

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Q&A Please type your questions in the chat

window.

© Copyright 2010-2014 QuantInsti Quantitative Learning Private  Limited

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