2-DAY MANAGEMENT DEVELOPMENT PROGRAM ALGORITHMIC TRADING

Transcription

1 2-DAY MANAGEMENT DEVELOPMENT PROGRAM on ALGORITHMIC TRADING

2 P R O G R A M M E OVERVIEW Technology has revolutionized the way financial markets function and the way financial assets are traded. Technology development across global markets has necessitated a multidimensional approach for understanding the Importance of Algorithmic Trading. It is imperative to develop domain knowledge expertise in quantitative and qualitative algorithmic trading skills.it helps to understand the market in a better manner and often allows us to frame difference strategies as per the market movements. Given the current market scenario and dynamism, Algorithmic Trading has attracted attention more than ever before. The concepts are multi-fold and are applicable across all financial markets: equities, fixed income, currencies-domestic or global. In view of this, NSE presents a comprehensive workshop on Algorithmic Trading for analysts, dealers, traders, consultants, and other market practitioners. The course provides an opportunity to learn Algorithmic Trading. PROGRAMME OBJECTIVE NSE's MDPs aims to enhance the competitiveness of executives of all levels in the financial industry. It is designed to assist professionals to take on a leadership role in their position individually and collectively, while improving their knowledge. NSE's MDPs are vital for practicing professionals and managers who are keen to take on leaderships roles with their organizations. NSE's MDPs attract some of the finest faculty from industry. Participants learn from both the rich practical experience of the faculty, as well as from the diverse experience of fellow learners. It provides an ideal platform for gaining new insights in order to be successful. NSE also conducts dedicated workshops for corporate and financial institutions, especially designed for Traders, corporate executives and entrepreneurs. 1

3 P r o g r a m C o n t e n t Day 1 Session TimeTopic Session I 9.30 AM AM"Introduction to algorithmic trading (AT) Building blocks of the algorithms What, why, how, where off AT Introduction to agency and prop side algorithms Agency algo: VWAP, TWAP, Inline, Aggressive, Passive Prop algo: Pairs, Trend following, High frequency etc. Introduction to DMA, DSA, dark-pool, flash trading AM AM Tea/Coffee Break Session II 11.15AM PM"Mathematical elements of AT (std, correl analysis) Spread, volume curve and volatility introduction Mean reversion and momentum introduction Hands on training on designing a VWAP algorithm on Excel Hands on training on designing an automated pair-trading algorithm on Excel 1.15 PM PM Lunch Session III 2.15 PM PM Lifecycle in development of AT Hands on in back-testing and Monte Carlo simulation Alpha generation: hands on using regression in Excel Stress-test and simulated trading Algorithm deployment and execution: CTCL, DMA, FIX etc. Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker Testing methods and live trading consideration 3.45 PM PM Tea/Coffee break Session IV 4.00 PM PM Introduction to risks in AT Risk management in design and when live Why quants fail (E.g.: LTCM)? Is it a new age nuclear race? Examples from 1987, 2001 to recent US intra-day crash Speed, co-location, latency, precision and scalability Trading costs: spreads, brokerage, turnover charges Roles: trader, quant, IT, risk manager, compliance 2

4 P R O G R A M M E Day 2 Session Session I TimeTopic 9.30AM AM Jargons in AT and what it means to a layman History of AT Automated scalping Transaction cost reduction: VWAP, TWAP, Sniper, Slicers Index arbitrage and Program trading Dark pool strategies AM AM Tea/Coffee break Session II 1.00 PM PM Lunch Session III Market making (sell-side) vs. liquidity extraction (buy-side) High frequency / Ultra high frequency: low latency trading Trend following, pair trading, delta neutral strategies, arbitrage AM PM Business aspect of AT Launch of AT, target markets, client driven or product driven? Cost of development and deployment: OMS, systems, data, team Integration with internal systems: OMS, compliance, back-office Vendors and 3rd party: data, development, launch, maintenance Revenue models on Agency: brokerage, guaranteed VWAP orders, slippage control, DMA/DSA Revenue models on prop side Competitive factors: slippage, execution, diversified algo Maintenance and improvisation: factors and costing 2.00 PM PM Global trends in AT What GS, MS, JPM, CS, DB, UBS etc. are doing? Role of AT across multiple exchanges: E.g.: Flash Trading, SOR Business strategies for sustainable growth and profitability globally: new markets, better algo, new products Major trends across US, Europe and Asia-Pac Government and regulatory structures globally Volume generated globally using AT vs conventional trading Exchanges, competition and a rush to attract AT volume 3

5 P R O G R A M M E Day 2 Session TimeTopic 3.15 PM PM Tea/Coffee break Session IV 3.30 PM PM Where India stands in AT Current regulatory approvals and exchange initiatives in India Taxation, transaction cost in India: set-back to AT? Current trends in India market: agency side, prop side Current state of AT: Institutions (large orders) and arbitrage Is AT possible and profitable at retail client level: If yes how? Indian exchange challenges: cancellation, consumption of bandwidth, mad-liquidity rush, critical network issues Growth projections in volume, market share and turnover using AT in next 3-5 years - India and globally 4

6 P R O F I L E O F S P E A K E R S MANISH JALAN Managing Director, Samssara Capital Technologies Manish Jalan is the Managing Director and Co-Founder of Samssara Capital Technologies LLP. Manish has over 9 years of expertise in the areas of profitable systematic quantitative trading strategy development. He is responsible for development of algorithmic trading and investment products which are used by HNIs, wealth managers and hedge funds globally. Apart from this Manish also heads the team which develops systematic quantitative strategies which forms the core of Samssara products. Manish is also actively involved in the business development and client interaction parts of Samssara business. Prior to being in India, Manish was a Quantitative Equity Trader in Tokyo, with Merrill Lynch Prop Desk for over 4 years where he played a vital role in development and implementation of various factor models and high/medium frequency trading models, which contributed significantly to the prop desk profitability. He handled long short portfolio of more than 30 mn. Dollar at Merrill's Asia Pac prop desk. Besides this he implemented several high frequency trading strategies across the length and breadth of Nikkei market. He has also worked with Credit Suisse in Hong Kong and India where he contributed to development of several Prop and Agency strategies like stat-arb and VWAP enhancements. Manish has worked closely with more than 5 Indian broker shops and numerous International Banks in algorithmic trading, high frequency trading, statistical arbitrage, quantitative modeling, back testing, programming, statistical analysis and risk handling. Manish is a seasoned speaker in the areas of algo trading and quant trading with investors and traders globally. He is also a consultant with Dun and Bradstreet, The National Stock Exchange of India, Bank of America, ATMA (Association of Technical Marks Analysts) and KPOs like SGAnalytics on building models for hedge funds globally. Manish has done his B.Tech and M.Tech in Mechanical Engineering from IIT Bombay and is an alumnus of DPS RK Puram, New Delhi. 5

7 WHO SHOULD ATTEND? The workshop is ideal for Traders, Investors, Brokers, Sub-brokers, Dealers, Fund Managers, Corporate Executives, Financial Intermediaries, Media, Journalist & anyone who wants to learn Algorithm Trading. W O R K S H O P D E T A I L S MANAGEMENT DEVELOPMENT PROGRAM IS A TWO DAY EXECUTIVE WORKSHOP Date: June 28-29, 2014 Time: 9:30 AM to 5:30 PM Venue: 304/305, GCP Business Centre, Opp. Memnagar Fire Station, AHMEDABAD FEE & REGISTRATION Training fee: Rs 12,500 plus 12.36% Tax (Total: Rs 14,045 Only) (Special discount: Fees of Rs. 12,500 (Inclusive of Service Tax) per person if register for a group of 3 or more participants attending together as a team.) *Early bird Registration Fees : Rs. 12,500 (Inclusive of Service Tax) if Registers on or Before 17th June 2014 The fee includes tuition, presentation material, etc. The completed Registration Form Along with Payment. PAYMENT MODE: DEMAND DRAFT AND ONLINE PAYMENT Account payee demand draft drawn in favour of "NATIONAL STOCK EXCHANGE OF INDIA LIMITED", payable in Ahmedabad, should reach NSE at least seven days before the commencement of the program. FOR ANY FURTHER QUERIES AND FOR ONLINE PAYMENT OPTION PLEASE CONTACT Mr. Sahil Shah (Mob: ) / Mr. Mihirsinh Parmar (Mob: ) Landline: /07 mparmar@nse.co.in sahils@nse.co.in (Limited Seats) 6

8 MDP NOMINATION FORM 2-DAY MANAGEMENT DEVELOPMENT PROGRAM NSE presents a comprehensive program on Algorithmic trading for you. The course will provide you an opportunity to understand the various trading strategies that can be employed for Equity & Currency derivatives trading with hands on session. Step 1. Take a printout of this Nomination Form Step 2. Fill the Nomination Form with the required details Step 3. Make a Demand Draft of Rs. 14,045/-* (Inclusive of taxes) payable at Ahmedabad in favour of "National Stock Exchange of India Limited Step 4. Send the Demand Draft along with completed registration form and Copy of pan card to Mihirsinh Parmar (Mob: ) Sahil Shah (Mob: ) National Stock Exchange of India Limited B 304/305, GCP Business Centre, Opp Memnagar Fire Station, Navrangpura, Ahmedabad Landline: /07 mparmar@nse.co.in sahils@nse.co.in Details Participant Participant Participant Name id Mobile Date of Birth Designation Organisation Years of experience in Stock Market Sponsored by: a) Self b) Company How did you come to know about the program: a) SMS b) c) Facebook d) NSE website e) Friends Correspondence Address:... Pin Code:... Programme Opted For: Date:... Payment Details: Amount (Rs.)... Demand Draft No.... Date of DD... Bank... 7

9 NATIONAL STOCK EXCHANGE OF INDIA LTD. Exchange Plaza, Plot no-c1, G block, Bandra-Kurla Complex Bandra (E), Mumbai Tel No - (022) cc_nse@nse.co.in Website: