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Quantinsti’s webinar on algorithmic trading

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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.

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Quantinsti’s webinar on algorithmic trading

  1. 1. Quantinsti’s Webinar on Algorithmic Trading Nitesh Khandelwal Sep 23, 2013 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  2. 2. 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
  3. 3. What is Algorithmic Trading • Electronic Trading: © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  4. 4. What is Algorithmic Trading • Electronic Trading: Sending orders over an electronic network instead of calling a broker © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  5. 5. 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
  6. 6. 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
  7. 7. 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
  8. 8. 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 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  9. 9. 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
  10. 10. 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 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  11. 11. 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% © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  12. 12. 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 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  13. 13. Algorithmic Trading: Career © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  14. 14. Concepts of Diverse fields Statistics Finance Computer Science Operations Research Economics Psychology History Mathematics Strategy © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  15. 15. E-PAT course structure Core Content Statistics and Econometrics Financial Computing & Technology Algorithmic & Quantitative Trading © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  16. 16. E-PAT Course Structure: Statistics and Econometrics Core Content Statistics and Econometrics Financial Computing & Technology Algorithmic & Quantitative Trading  Probability and Distribution  Statistical Inference  Linear Regression  Correlation vs. Co-integration  ARIMA, ARCH-GARCH Models  Multiple Regression © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited Basic Statistics Advanced Statistics Time Series Analysis  Stochastic Math  Causality  Forecasting
  17. 17. E-PAT Course Structure: Financial Computing & Technology Core Content Statistics and Econometrics Financial Computing & Technology Algorithmic & Quantitative Trading  Intro to Programming Language(s)  Programming on Algorithmic Trading Platforms  Linear Regression  System Architecture  Understanding an Algorithmic Trading Platform  Handling HFT Data © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited Programming Technology for Algorithmic Trading Statistical Tools  Excel & VBA  Financial Modeling using R  Using R & Excel for Back-testing
  18. 18. E-PAT Course Structure: Financial Computing Core Content Statistics and Econometrics Financial Computing & Technology Algorithmic & Quantitative Trading  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 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited Trading Strategies Derivatives & Market Microstructure Managing Algo Operations  Hardware & Network  Regulatory Framework  Exchange Infrastructure & Financial Planning (Costing)  Handling Risk Management in Automated systems & Technology
  19. 19. E-PAT course mapping © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  20. 20. Mapping Skill Set Trading Knowledge Software Development Quantitative Skills Conventional Trading Sales Trading Algo Trading Broking © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited Asset management – Mid Office Asset management – Front Office
  21. 21. 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 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  22. 22. Going beyond the curriculum • Faculty supervision • Placement assistance • Forum © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  23. 23. Algorithmic Trading Platform: A Sneak Peek Source: marketcetera © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  24. 24. Algorithmic Trading: System Architecture Application Server Exchange Application Market Data F I X Complex Event Processing engine Order Manager MktData Store Event History © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited Exchange 1 Storage Strategy Settings UI State Mgmt (PnL + Position) Order / Execution Monitor Within application RMS Maths Calc RMS Admin Monitor Exchange 2 F I X Data Normalizer Order Router Back office record Adaptor for third party apps – R, Matlab, etc Data Retrieval Data Vendor Replay of stored data Simulator exchange
  25. 25. 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 © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  26. 26. Coming dates • http://www.quantinsti.com/importantdates.h tml Date Event Venue 27th September, 2013 Last date for Early bird registration for 17th batch of EPAT* © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited Online 26th October, 2013 Classes for EPAT batch 17th start Online & offline
  27. 27. Q&A • Please type your questions in the chat window. Important dates 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 http://www.quantinsti.com/importantdates.html *Scholarships: http://www.quantinsti.com/scholarships.html © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited
  28. 28. Thanks! • For more information visit: Youtube channel LinkedIn group © Copyright 2010-2014 QuantInsti Quantitative Learning Private Limited

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