quantinsti’s webinar on algorithmic trading
DESCRIPTION
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
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
Quantinsti’s Webinar on Algorithmic Trading
Nitesh KhandelwalSep 23, 2013
© 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• Strategy Paradigms• 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
What is Algorithmic Trading
• Electronic Trading: Sending orders over an electronic network instead of calling a broker
• Algorithmic Trading:
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
What is Algorithmic Trading
• Electronic Trading: Sending orders over an electronic network instead of calling a broker
• Algorithmic Trading: Using Algorithms to generate trading signals and manage portfolios
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
What is Algorithmic Trading
• 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:
© 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
What is Algorithmic Trading
• 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:
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
What is Algorithmic Trading• 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
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Algorithmic Trading in India• Allowed by SEBI in April 2008• Estimated share of Algorithmic Trading Volume in Overall
Volume: – Index & Equity Futures & Options: 40%-50% – Commodity Futures (Non Agri): 20%
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Algorithmic Trading in India• Important Steps taken by Exchanges and Regulators to
create conducive environment for Algorithmic Trading:– Colocation facility– Tick by Tick data
• Normal Vs. Bucket Feed
– High capacity interactive lines– Smart Order Routing– Speedy empanelment process– New membership categories– Compliance
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Algorithmic Trading: Career
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Concepts of Diverse fields
Statistics Finance
Computer SciencePsychology
Economics Operations Research
HistoryMathematics
Strategy
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E-PAT course structure
Core Content
Statistics and Econometrics
Financial Computing & Technology
Algorithmic & Quantitative Trading
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
E-PAT Course Structure: Statistics and Econometrics
Core Content
Statistics and Econometrics
Financial Computing & Technology
Algorithmic & Quantitative Trading
Basic Statistics
Advanced Statistics
Time Series Analysis
Probability and Distribution Statistical Inference Linear Regression
Correlation vs. Co-integration ARIMA, ARCH-GARCH Models Multiple Regression
Stochastic Math Causality Forecasting
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E-PAT Course Structure: Financial Computing & Technology
Core Content
Statistics and Econometrics
Financial Computing & Technology
Algorithmic & Quantitative Trading
Programming
Technology for Algorithmic Trading
Statistical Tools
Intro to Programming Language(s) Programming on Algorithmic Trading Platforms
Linear Regression
System Architecture Understanding an Algorithmic Trading Platform
Handling HFT Data
Excel & VBA Financial Modeling using R Using R & Excel for Back-testing
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
Core Content
Statistics and Econometrics
Financial Computing & Technology
Algorithmic & Quantitative Trading
Trading Strategies
Derivatives & Market Microstructure
Managing Algo Operations
Statistical Arbitrage Market Making Strategies Execution Strategies Forecasting & AI Based Strategies Machine readable News based Trend following Strategies
Option Pricing Model Time Structure of Volatility Dispersion Trading Volatility Forecasting & Interpretations Managing Risk using Greeks Position Analysis Order Book Dynamics Market Microstructure
Hardware & Network Regulatory Framework Exchange Infrastructure & Financial Planning (Costing)
Handling Risk Management in Automated systems
E-PAT Course Structure: Financial Computing & Technology
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E-PAT course mapping
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Mapping Skill Set
Trading Knowledge
Software Development
Quantitative Skills
Conventional Trading Sales Trading Algo Trading Broking
Asset managemen
t – Mid Office
Asset managemen
t – Front Office
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Program Delivery• Weekends only program
– 3 hrs sessions on Saturday & Sunday both– 4 months long program– Practical Oriented– 100 contact hours including practical sessions
• Convenience – Conducted online• Open Source• Virtual Classroom integration• Student Portal
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Going beyond the curriculum
• Faculty supervision• Placement assistance• Forum
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Algorithmic Trading Platform: A Sneak Peek
Source: marketcetera
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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
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Strategy Paradigms
Market Making
Algorithms that try to profit from the bid ask spread
Algorithms that try to take advantage of temporary mispricing
Algorithms that try to encash on momentum
Algorithms based on mean reversion strategy. Mostly pair based.
Arbitrage
Momentum
Statistical Arbitrage
M/c Readable News
AI based
Algorithms are used to read & interpret the news/economic data for making trading decisions
Algorithms are used predict very short term range at a certain confidence interval
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Coming dates• http://www.quantinsti.com/importantdates.html
Date Event Venue
27th September, 2013 Last date for Early bird registration for 17th
batch of EPAT*Online
26th October, 2013 Classes for EPAT batch 17th start Online & offline
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Q&A
• Please type your questions in the chat window.
http://www.quantinsti.com/importantdates.html*Scholarships: http://www.quantinsti.com/scholarships.html
Date Event Venue
27th Sep, 2013 Last date for Early bird registration for 17th batch of EPAT* Online
26th Oct, 2013 Classes for EPAT batch 17 starts Online & offline
Important dates
© Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
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