ALGORITHMIC TRADING AN OVERVIEW
|
|
- Junior Phillips
- 7 years ago
- Views:
Transcription
1 ALGORITHMIC TRADING AN OVERVIEW
2 Algorithmic Trading What is it? Electronic trade execution piloted by a model Model tries to match a specific execution cost benchmark Usually breaks up a larger trade into a series of smaller trades to be executed over time
3 Algorithmic Trading How much is there today? Tower Group says 7% of all Buy Side flow Source: Market Structure and the Role of Exchanges, ECNs and ATSs Tower Group (2004)
4 Algorithmic Trading How much is there today?..while the Tabb Group reports that over half of all firms have access to algorithms. Source: Institutional Equity Trading in America: A Buy-Side Perspective The Tabb Group (2004)
5 Most Popular Algorithms The list of most popular algorithms is dominated by the key execution benchmarks: VWAP and Arrival Price VWAP (27%) Arrival Price (19%) Imp. Shortfall (13%) EOD / Beat Close (10%) Guerilla (8%) Liquidity (8%) % ADV (6%) Other (9%) Essentially the same algorithm (32%) Source: Institutional Equity Trading in America 2005 A Buy-Side Perspective. Tabb Group (2005)
6 Trading Cost How Big? 20bps Implementation Shortfall for Average Trade per Side* At 1 x Portfolio Turnover, 40bps Drag on Annual Portfolio Performance Assume 6% Annual Return 40bps / 6 % = 6.7% negative return contribution * Plexus BrokerEDGE Monitor (2004)
7 Implicit Trading Cost Attribution Market Impact Timing / Trend Cost Unexecuted orders/ Opportunity Cost Spread Cost Strategic / Scheduling Tactical / Implementation
8 Timing Cost is Critical, but Spread Costs Matter Too! Cost Attribution Example: Order to Buy 60,000 shares, filled via 3 Executions* 10:40am: Order arrives to Buy 60,000 shares 10:40am: Buying 20, :22am: Buying 20, Execution Price B Ask Spread Cost: 1.5c 11:48am: Buying 20, Execution Price C Ask Impact Cost: 1c Spread Cost: 2c Spread midpoint Spread midpoint Execution Price A Ask Spread midpoint Impact Cost: 1c Spread Cost: 1c 1 Order Bid Executions Execution A Execution B Bid Timing Cost 7.5 cents Bid Execution C Timing Cost 7 cents Total Cost: 2c Total Cost: 9c Total Cost: 10c Order Trading Cost is Sum Total of Executions A/B/C * Hypothetical Executions
9 Two Common Benchmarks Volume Weighted Average Price (VWAP) A weighted average price Trading volumes are the weights Intuitive & easy to use for traders > commonly used in the market VWAP does not measure Trend/Timing Cost! Arrival Price The portfolio decision price Difference between Arrival Price and execution price, plus forgone returns on unexecuted shares is called Implementation Shortfall There is little agreement in the market on what an appropriate implementation shortfall ought to be
10 Pros and Cons: VWAP vs Arrival Price VWAP Advantages Easy-to-use Direction-neutral Arrival Price Advantages Directly related to portfolio returns ( capturing alpha ) Can t be fooled VWAP Disadvantages Becoming VWAP Waiting out VWAP Stretching out the order Saying No to a block Arrival Price Disadvantages Harder to implement Law of large numbers Direction-bias
11 Becoming VWAP Threat Recent Data ITG Study Shows Empirical Evidence of Becoming VWAP VWAP and Arrival Price Cost vs %ADV Std Dev VWAP and Arrival Price Cost vs %ADV Bps cost vs VWAP Bps cost vs Arrival Price Cost vs VWAP Cost vs Arrival Price (diff. adjusted) StdDev of Bps cost vs VWAP < 1% 1-5% 5-10% 10-25% 25-50% 50% > < 1% 1-5% 5-10% 10-25% 25-50% 50% > StrdDev of Bps cost vs Arrival Price StdDev Cost vs VWAP StdDev Cost vs Arrival Price (diff. adjusted) %ADV %ADV Data Source: ITG The Cost of Algorithmic Trading: A First Look at Comparative Performance (March 2005) Charts: Instinet
12 Instinet & Northfield Instinet already had a robust VWAP rule We wanted to develop an Arrival Price rule that would Factor in an effective measure of timing risk Work for portfolios & pairs, not just single stocks Factor in short-term stock correlations for portfolios & pairs So we turned to someone who Had expertise in risk management models Had a proven short-term risk model
13 The Instinet & Northfield Partnership Benefits & Synergies Be able to execute portfolios against Arrival Price React to real-time market data Optimize and re-balance real-time, during the execution process
14 TRADING TACTICS FOR ALGORITHMIC TRADING
15 Implementation FIX NEWPORT TM Execution Management System Instinet Order Handling Northfield Risk Model Feedback Loop Instinet Trading Engine Newport TM is patent-pending
16 NYSE Spread-cost Minimization Tactic: BlockPeg SM 1 Scenario: Buying 50,000 of NYSE-listed mid-cap, Limit 19c, Current Market 16c x 20c. BlockPeg Execution Style Aggressive Post at midspread 3 CBX Market: 16c x 20c Executed: 0 Left: 50,000 20c 18c 16c BlockPeg DOT 20c 16c Market?: 16c x 20c Executed: 10,000 Left: 40,000 CBX 20c Peer institution takes 18c 16c BlockPeg DOT 20c 16c Post at bid Post at bid 2 Post at midspread 4 Not posting Hard 19c Market?: 17c x 21c Executed: 0 Left: 50,000 CBX 21c 19c 17c BlockPeg BlockPeg DOT Market?: 22c x 25c Executed: 0 Left: 40,000 CBX 25c 22c Hard limit exceeded 21c 17c DOT 25c 22c Post at bid Not posting DOT slice moves with the market 5 Market?: 15c x 19c Executed: 2,000 Left: 38,000 CBX DOT 6 Market?: 14c x 18c Executed: 1,000 Left: 37,000 CBX DOT Post at midspread 19c 17c 15c BlockPeg 19c 15c 2000 shares 19c Post at bid Post at midspread 18c 16c 14c BlockPeg 18c Someone hits the bid: 1,000 14c 14c Post at bid
17 Another Spread-Cost Minimization Tactic: Momentum detection & Mean reversion Rule Detects Intra-Day Volatility Noise - Pricing Buy Order Passively - Price 9:30 am Time 4:00 pm Passive Limit Price Rule Detects Adverse Momentum - Pricing Buy Order Aggressively - Price Floating Aggressive Limit Price 9:30 am Time 4:00 pm
18 Tracking Transaction Cost in Newport Cost vs Arrival Price I have realized (executed portion of the order) What the entire order s realized Cost vs Arrival would be if I executed all residuals now Arrival Price Cost vs Arrival Price of unexecuted residuals
19 Best Execution What else can you do? Use a great model Use great technology Trade through a broker who doesn t have a dog in the fight 100% Pure Agency 100% Anonymous Always trading for the customer No firm proprietary account
20 2005 Instinet, LLC. All rights reserved. INSTINET and the tagline The Institutional Broker are a registered mark in the United States and in other countries throughout the world. Instinet, LLC, member NASD/SIPC, branded as Instinet, The Institutional Broker, is a subsidiary of Instinet Group Incorporated which is part of the Reuters family of companies. This presentation is provided for informational purposes only. It does not take into account the particular investment objectives, financial situation or needs of any individual or entity. Under no circumstances is it to be used or considered an offer to purchase or sell any security, or a solicitation or recommendation of the purchase, sale or offer to purchase or sell any security. Reproduction or redistribution of this information in any form in whole or in part is prohibited except with the written permission of Instinet.
PURE ALGORITHMIC TRADING SOLUTIONS
PURE ALGORITHMIC TRADING SOLUTIONS WHEN TACTICS OVERWHELM STRATEGY Technology and sophisticated trading tools help traders find the best trading venues. In a fragmented environment, however, traders risk
More informationUnderstanding Trading Performance in an Order Book Market Structure TraderEx LLC, July 2011
TraderEx Self-Paced Tutorial & Case: Who moved my Alpha? Understanding Trading Performance in an Order Book Market Structure TraderEx LLC, July 2011 How should you handle instructions to buy or sell large
More informationMeasuring and Interpreting the Performance of Broker Algorithms
Measuring and Interpreting the Performance of Broker Algorithms Ian Domowitz Managing Director ITG Inc. 380 Madison Ave. New York, NY 10017 212 588 4000 idomowitz@itginc.com Henry Yegerman Director ITG
More informationAlgorithmic and advanced orders in SaxoTrader
Algorithmic and advanced orders in SaxoTrader Summary This document describes the algorithmic and advanced orders types functionality in the new Trade Ticket in SaxoTrader. This functionality allows the
More informationImplementation Shortfall One Objective, Many Algorithms
Implementation Shortfall One Objective, Many Algorithms VWAP (Volume Weighted Average Price) has ruled the algorithmic trading world for a long time, but there has been a significant move over the past
More informationalgorithmic & program trading services
algorithmic & program trading services Featuring the Abel/Noser Signature Algorithm Series Institutional Agency Execution and Trade Analytics algorithmic & program trading services * Abel/Noser has offered
More informationAn introduction to measuring trading costs - TCA
An introduction to measuring trading costs - TCA Ofir Gefen, Head of Research & Execution Consulting ITG Asia Pacific 2011 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or
More informationGoldman Sachs Electronic Trading India: Algorithmic Trading. FIXGlobal Face2Face Electronic Trading Forum - India
Goldman Sachs Electronic Trading India: Algorithmic Trading FIXGlobal Face2Face Electronic Trading Forum - India 11 Agenda Goldman Sachs Algorithmic Trading solutions available in India How to access the
More informationSetting the Scene. FIX the Enabler & Electronic Trading
Setting the Scene FIX the Enabler & Electronic Trading Topics Overview of FIX and connectivity Direct Market Access Algorithmic Trading Dark Pools and Smart Order Routing 2 10,000+ firms use FIX globally
More informationTransaction Cost Analysis and Best Execution
ATMonitor Commentary July 2011 Issue Transaction Cost Analysis and Best Execution 10 things you wanted to know about TCA but hesitated to ask Foreword This is not an academic paper on theoretical discussions
More informationThe Need for Speed: It s Important, Even for VWAP Strategies
Market Insights The Need for Speed: It s Important, Even for VWAP Strategies November 201 by Phil Mackintosh CONTENTS Speed benefits passive investors too 2 Speed helps a market maker 3 Speed improves
More informationThe Cost of Algorithmic Trading: A First Look at Comparative Performance
The of Algorithmic Trading: A First Look at Comparative Performance Ian Domowitz Managing Director ITG Inc. 380 Madison Ave. New York, NY 10017 212 588 4000 idomowitz@itginc.com Henry Yegerman Director
More informationFixed Income TCA. TCA and its use in fixed income reducing cost, bringing transparency and moving towards electronic trading in fixed income
Fixed Income TCA TCA and its use in fixed income reducing cost, bringing transparency and moving towards electronic trading in fixed income Why do Fixed Income TCA? MiFID II hasn t changed best execution
More informationCluster Analysis for Evaluating Trading Strategies 1
CONTRIBUTORS Jeff Bacidore Managing Director, Head of Algorithmic Trading, ITG, Inc. Jeff.Bacidore@itg.com +1.212.588.4327 Kathryn Berkow Quantitative Analyst, Algorithmic Trading, ITG, Inc. Kathryn.Berkow@itg.com
More informationTrading Around the Close
AUTHORs Jeff Bacidore Managing Director, Head of Algorithmic Trading jeff.bacidore@itg.com Ben Polidore Director, Algorithmic Trading ben.polidore@itg.com Wenjie Xu Quantitative Analyst, Algorithmic Trading
More informationMarket Making and Liquidity Provision in Modern Markets
Canada STA 2015 Market Making and Liquidity Provision in Modern Markets Phil Mackintosh 2 What am I going to talk about? Why are Modern Markets Important? Trading is now physics at the speed of light Jan
More informationLiquidity Aggregation: What Institutional Investors Need to Know
Liquidity Aggregation: What Institutional Investors Need to Know By Gabriel Butler Director, Sales and Trading Investment Technology Group, Inc. [Optional URL] http://www.itg.com/offerings/itg_algorithms.php
More informationDoes trading at the Fix fix FX?
By: Michael DuCharme, CFA, Head of Foreign Exchange JUNE 2013 Does trading at the Fix fix FX? Foreign exchange transactions are significant components of millions of daily financial transactions, yet most
More informationDoes Trading at the Fix fix FX?
By: Michael DuCharme, CFA MAY 2013 Does Trading at the Fix fix FX? Introduction Foreign exchange transactions are significant components of millions of daily financial transactions, yet most currency transactions
More informationTrade Cost Analysis: A Component of Risk Management
Trade Cost Analysis: A Component of Risk Management Coordinator: Jim Bryson As transaction cost management moves into the daily forum, transaction costs must be viewed daily and used to manage risk and
More informationExecution Costs. Post-trade reporting. December 17, 2008 Robert Almgren / Encyclopedia of Quantitative Finance Execution Costs 1
December 17, 2008 Robert Almgren / Encyclopedia of Quantitative Finance Execution Costs 1 Execution Costs Execution costs are the difference in value between an ideal trade and what was actually done.
More informationHow To Trade Against A Retail Order On The Stock Market
What Every Retail Investor Needs to Know When executing a trade in the US equity market, retail investors are typically limited to where they can direct their orders for execution. As a result, most retail
More informationTransaction Cost Analysis to Optimize Trading Strategies
W W W. I I J O T. C O M OT F A L L 2 0 1 0 V O L U M E 5 N U M B E R 4 Transaction Cost Analysis to Optimize Trading Strategies CARLA GOMES AND HENRI WAELBROECK Sponsored by: Goldman Sachs Morgan Stanley
More informationAdjusting for Size Liquidity and Risk Effects in Foreign Exchange Trading
AUTHORS Jim Cochrane Director ITG TCA for FX jim.cochrane@itg.com Ian Domowitz Managing Director Head of ITG Analytics ian.domowitz@itg.com Milan Borkovec Managing Director Head of Financial Engineering
More informationCHAPTER 8. REVERSAL TRADING STRATEGIES
CHAPTER 8. REVERSAL TRADING STRATEGIES Today you will Learn Reversal trading strategies are great or mid-day and afternoon trades, especially on days when momentum is a big slower. Why Is This Important?
More informationUntil recently, the majority of
Identifying the real value of algorithms in a fragmented market Charlie Susi* Until recently, the majority of algorithmic trading strategies used in the global marketplace have been created to address
More informationExhibit A to Form ATS Classes of Subscribers
Exhibit A to Form ATS Classes of Subscribers Alternative trading system name: Liquidnet H2O ATS CRD No.: 103987 Filing date: April 8, 2016 SEC File No.: 8-52461 Classes of subscribers; any differences
More informationOptimal trading? In what sense?
Optimal trading? In what sense? Market Microstructure in Practice 3/3 Charles-Albert Lehalle Senior Research Advisor, Capital Fund Management, Paris April 2015, Printed the April 13, 2015 CA Lehalle 1
More informationFlash Crash Retrospective: Limit Up-Limit Down is the Best Response
Flash Crash Retrospective: Limit Up-Limit Down is the Best Response Key Takeaways On May 6, 2010, while equities endured an historic crash, the CME s Stop Logic functionality curbed the downward movement
More informationINCORPORATION OF LIQUIDITY RISKS INTO EQUITY PORTFOLIO RISK ESTIMATES. Dan dibartolomeo September 2010
INCORPORATION OF LIQUIDITY RISKS INTO EQUITY PORTFOLIO RISK ESTIMATES Dan dibartolomeo September 2010 GOALS FOR THIS TALK Assert that liquidity of a stock is properly measured as the expected price change,
More informationUS Futures Trading 2012: Buy-Side Demands in an Evolving Marketplace
US Futures Trading 2012: Buy-Side Demands in an Evolving Marketplace February 2012 Executive Summary Author: Matthew Simon Futures markets are about to become a lot more competitive. As buy-side portfolio
More informationINVESTMENT OBJECTIVE TTM U.S. CORE ETF DETAILS HIGHLIGHTS
Our uncertain global economy presents a new paradigm for investing. Protecting the wealth you have accumulated is as important as growth. 1/31/2015 Markets move in recognizable trends and countertrends.
More informationIt is common to evaluate the performance
VWAP Strategies ANANTH MADHAVAN ANANTH MADHAVAN is managing director of research at ITG Inc., in New York City. It is common to evaluate the performance of traders by their ability to execute orders at
More informationPRE- AND POST- MARKET TRADING FOR US STOCKS: Are You Missing Out on Liquidity?
GLOBAL AGENCY BROKERAGE PRE- AND POST- MARKET TRADING FOR US STOCKS: Are You Missing Out on Liquidity? By Kapil Phadnis and Shawn Chen Summary For U.S.-listed stocks, a significant percentage of the day
More informationMonthly Leveraged Mutual Funds UNDERSTANDING THE COMPOSITION, BENEFITS & RISKS
Monthly Leveraged Mutual Funds UNDERSTANDING THE COMPOSITION, BENEFITS & RISKS Direxion 2x Monthly Leveraged Mutual Funds provide 200% (or 200% of the inverse) exposure to their benchmarks and the ability
More informationFast Trading and Prop Trading
Fast Trading and Prop Trading B. Biais, F. Declerck, S. Moinas (Toulouse School of Economics) December 11, 2014 Market Microstructure Confronting many viewpoints #3 New market organization, new financial
More informationHigh Frequency Trading Background and Current Regulatory Discussion
2. DVFA Banken Forum Frankfurt 20. Juni 2012 High Frequency Trading Background and Current Regulatory Discussion Prof. Dr. Peter Gomber Chair of Business Administration, especially e-finance E-Finance
More informationHow Securities Are Traded
How Securities Are Traded Chapter 3 Primary vs. Secondary Security Sales Primary new issue issuer receives the proceeds from the sale first-time issue: IPO = issuer sells stock for the first time seasoned
More informationDay Trade Warrior. Business Plan Trading as a Business
Day Trade Warrior Business Plan Trading as a Business I want to be a Professional Day Trader What do I need to do? Just like any other profession, if you are serious, you have to evaluate whether or not
More informationTrade Execution Analysis Generated by Markit
Trade Execution Analysis Generated by Markit Global Liquidity Partners Execution Peer Review 2nd Quarter 2015 Contents S VT POV Report Summary Summarizes the trade execution document and illustrates the
More informationAlerts & Filters in Power E*TRADE Pro Strategy Scanner
Alerts & Filters in Power E*TRADE Pro Strategy Scanner Power E*TRADE Pro Strategy Scanner provides real-time technical screening and backtesting based on predefined and custom strategies. With custom strategies,
More informationMore informed trading Technical Analysis: Trends, Support and Resistance
Technical Analysis: Trends, Support and Resistance Beginner Level Introduction 1 Stocks prices are always moving up and down and fortunes rest on the ability to predict such movements. The trader s job
More informationExchange Traded Funds A Brief Introduction
Exchange Traded Funds A Brief Introduction 1 What You Need to Know about ETFs 2 ETF Basics Benefits of ETFs ETFs vs. Mutual Funds The Role of ETFs in Your Portfolio Our Next Steps Appendix: FAQs 3 ETF
More informationThe InstaQuote Solution
The InstaQuote Solution 1 ...a powerful strategic technology asset for today s traders Celadon Financial Group InstaQuote Solution Simple User Interface - Powerful Technology Easy to deploy and simple
More informationBernard S. Donefer Distinguished Lecturer Baruch College, CUNY bernard.donefer@baruch.cuny.edu
Bernard S. Donefer Distinguished Lecturer Baruch College, CUNY bernard.donefer@baruch.cuny.edu Principal, Conatum Consulting LLC www.conatum.com donefer@conatum.com 2008 Bernard S. Donefer. All rights
More informationForeign Exchange Trading. Trading at the 4pm GMT Fixing
Trading at the 4pm GMT Fixing Summary Points Many transition managers default to executing all FX at 4PM London fixing This is same rate used by most index families for daily valuation Traditionally this
More informationCFTC Technology Advisory Committee Sub-Committee on Automated and High Frequency Trading Working Group 1 Participants
CFTC Technology Advisory Committee Sub-Committee on Automated and High Frequency Trading Working Group 1 Participants Joan Manley, George Pullen CFTC Sean Castette Getco LLC Colin Clark NYSE Euronext Chris
More informationActive vs. Passive Money Management
Active vs. Passive Money Management Exploring the costs and benefits of two alternative investment approaches By Baird s Asset Manager Research Synopsis Proponents of active and passive investment management
More informationRBC STAT - STATISTICAL TRANSACTION ANALYSIS TOOL ANALYZE. EXECUTE. EVALUATE.
RBC STAT - STATISTICAL TRANSACTION ANALYSIS TOOL ANALYZE. EXECUTE. EVALUATE. RBC Capital Markets is the brand name used by the global capital markets business of the Royal Bank of Canada Financial Group,
More informationFinancial Econometrics and Volatility Models Introduction to High Frequency Data
Financial Econometrics and Volatility Models Introduction to High Frequency Data Eric Zivot May 17, 2010 Lecture Outline Introduction and Motivation High Frequency Data Sources Challenges to Statistical
More informationHFT and the Hidden Cost of Deep Liquidity
HFT and the Hidden Cost of Deep Liquidity In this essay we present evidence that high-frequency traders ( HFTs ) profits come at the expense of investors. In competing to earn spreads and exchange rebates
More informationHow To Model Volume On A Stock With A Trading Model
AUTHORS Benjamin Polidore Managing Director Head of Algorithmic Trading benjamin.polidore@itg.com Lin Jiang Assistant Vice President ITG Algorithms lin.jiang@itg.com Yichu Li Analyst ITG Algorithms yichu.li@itg.com
More informationExchange-Traded Funds
Exchange-Traded Funds Exchange Traded Funds (ETF s) are becoming popular investment vehicles for many investors. Most ETF s are cost effective, broad market funds. We have put together a layman s explanation
More informationPairs Trading Algorithms in Equities Markets 1
AUTHORs Di Wu Vice President, Algorithmic Trading di.wu@itg.com Kenny Doerr Director, Electronic Trading Desk kenny.doerr@itg.com Cindy Y. Yang Quantitative Analyst, Algorithmic Trading yu.yang@itg.com
More informationWhat is the history and global performance of ETFS? What are ETFs? Assets Under Management (AUM) of ETFs: 2001 Q12013
What is the history and global performance of ETFS? Exchange Traded Funds debuted in 1993 when State Street launched the SPDR S&P 500, an equity index fund tracking the S&P 500. Shortly after, ETFs gained
More informationLeveraged Index Mutual Funds Evolve to Meet Market Needs
Leveraged Index Mutual Funds Evolve to Meet Market Needs October 27, 2009 by Direxion Funds New monthly objectives allow greater manageability of exposure for short- to medium-term tactical strategies.
More informationLeveraged ETFs: Pursuing Daily Targets in Volatile Markets
Leveraged ETFs: Pursuing Daily Targets in Volatile Markets The Daily Objective The Direxion Shares Daily 3x Exchange Traded Funds (ETFs) seek to provide daily leveraged investment results that are either
More informationHIGH FREQUENCY TRADING, ALGORITHMIC BUY-SIDE EXECUTION AND LINGUISTIC SYNTAX. Dan dibartolomeo Northfield Information Services 2011
HIGH FREQUENCY TRADING, ALGORITHMIC BUY-SIDE EXECUTION AND LINGUISTIC SYNTAX Dan dibartolomeo Northfield Information Services 2011 GOALS FOR THIS TALK Assert that buy-side investment organizations engage
More informationAlgorithmic Trading. Global Execution Services. Making the world liquid EQUITY MARKETS
Global Execution Services Algorithmic Trading Making the world liquid EQUITY MARKETS CORPORATE & INVESTMENT BANKING / INVESTMENT SOLUTIONS / SPECIALISED FINANCIAL SERVICES 2 Content Our Execution Services
More informationA Market Impact Model that Works
A Market Impact Model that Works Dan dibartolomeo Summer 2007 Investment Seminar London June 2007 Main Points for Today Of the inputs needed to optimally rebalance a portfolio, market impact of large trades
More informationExecution Costs of Exchange Traded Funds (ETFs)
MARKET INSIGHTS Execution Costs of Exchange Traded Funds (ETFs) By Jagjeev Dosanjh, Daniel Joseph and Vito Mollica August 2012 Edition 37 in association with THE COMPANY ASX is a multi-asset class, vertically
More informationTECHNICAL ANALYSIS & SYSTEMATIC TECHNICAL TRADING (Chart and Non-Chart Based) IS A ONE DAY EXECUTIVE WORKSHOP
TECHNICAL ANALYSIS & SYSTEMATIC TECHNICAL TRADING (Chart and Non-Chart Based) IS A ONE DAY EXECUTIVE WORKSHOP P R O G R A M M E TECHNICAL ANALYSIS & SYSTEMATIC TECHNICAL TRADING (Chart and Non-Chart Based)
More informationAuctions (Opening and Close) in NYSE and NASDAQ
ITG Primer Auctions (Opening and Close) in NYSE and NASDAQ 2009 Investment Technology Group, Inc. All rights reserved. Not to be reproduced or retransmitted without permission. Broker-dealer products and
More informationTrading Costs and Taxes!
Trading Costs and Taxes! Aswath Damodaran Aswath Damodaran! 1! The Components of Trading Costs! Brokerage Cost: This is the most explicit of the costs that any investor pays but it is usually the smallest
More informationSingle Manager vs. Multi-Manager Alternative Investment Funds
September 2015 Single Manager vs. Multi-Manager Alternative Investment Funds John Dolfin, CFA Chief Investment Officer Steben & Company, Inc. Christopher Maxey, CAIA Senior Portfolio Manager Steben & Company,
More informationAdaptive Arrival Price
Adaptive Arrival Price Julian Lorenz (ETH Zurich, Switzerland) Robert Almgren (Adjunct Professor, New York University) Algorithmic Trading 2008, London 07. 04. 2008 Outline Evolution of algorithmic trading
More informationNasdaq Working Paper Series Nasdaq Working Paper 2002-01. Institutional Trading Costs on Nasdaq: Have They Been Decimated?
Nasdaq Working Paper Series Nasdaq Working Paper 2002-01 Institutional Trading Costs on Nasdaq: Have They Been Decimated? Ingrid M. Werner 1 Nasdaq Economic Research and Ohio State University Abstract
More informationBECS Pre-Trade Analytics. An Overview
BECS Pre-Trade Analytics An Overview January 2010 Citi s Pre-Trade Analytical Products and Services Citi has a long history of providing advanced analytical tools to our clients. Significant effort has
More informationStuart McPhee s Trading Plan Template
Stuart McPhee s Trading Plan Template Mindset * Right from the start you need to ask yourself whether you are prepared to work towards achieving a trading plan that will work. If yes, great! Many people
More informationThere is a shortening time cycle in the
Nicholas Pratt Everything is getting faster, it seems. And the faster things get, the shorter they last. Whether this relatively unrefined truism can be applied to FX algorithmic trading remains a moot
More informationForum. Does Trading at the Fix fix FX? A meeting place for views and ideas
Forum A meeting place for views and ideas Does Trading at the Fix fix FX? No institution, such as an exchange, exists to collect and post trade information. Published May 2013 Daniel Birch Head of Implementation
More informationPros and Cons of Different Investment Options
Pros and Cons of Different Investment Options In 2016, new legislation called CRM2 will come to Canada. Once enacted, all financial institutions in Canada will be required to disclose all investment management
More informationOne Goal: Best Execution Trading and Services for Broker-Dealers
One Goal: Best Execution Trading and Services for Broker-Dealers UBS Broker Services For more information please contact UBS Broker Services: +1-800-213 2923 +1-212-713 2923 www.ubs.com One Goal: Best
More informationConditional and complex orders
Conditional and complex orders Securities Trading: Principles and Procedures Chapter 12 Algorithms (Algos) Less complex More complex Qualified orders IOC, FOK, etc. Conditional orders Stop, pegged, discretionary,
More informationWhite Paper Electronic Trading- Algorithmic & High Frequency Trading. PENINSULA STRATEGY, Namir Hamid
White Paper Electronic Trading- Algorithmic & High Frequency Trading PENINSULA STRATEGY, Namir Hamid AUG 2011 Table Of Contents EXECUTIVE SUMMARY...3 Overview... 3 Background... 3 HIGH FREQUENCY ALGORITHMIC
More informationFinancial Markets And Financial Instruments - Part I
Financial Markets And Financial Instruments - Part I Financial Assets Real assets are things such as land, buildings, machinery, and knowledge that are used to produce goods and services. Financial assets
More informationPORTFOLIO TRADING THE UPSIDE OF. AFTER A PERIOD of lacklustre growth throughout 54 MAY/JUNE 2005 FTSE GLOBAL MARKETS
PORTFOLIO TRADING It is a truth universally acknowledged that a basket of shares in need of rebalancing is in want of a good portfolio trader. These are lambent days, as demand for their specialist (and
More informationToxic Equity Trading Order Flow on Wall Street
Toxic Equity Trading Order Flow on Wall Street INTRODUCTION The Real Force Behind the Explosion in Volume and Volatility By Sal L. Arnuk and Joseph Saluzzi A Themis Trading LLC White Paper Retail and institutional
More informationMeasures of implicit trading costs and buy sell asymmetry
Journal of Financial s 12 (2009) 418 437 www.elsevier.com/locate/finmar Measures of implicit trading costs and buy sell asymmetry Gang Hu Babson College, 121 Tomasso Hall, Babson Park, MA 02457, USA Available
More informationNorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com
NorthCoast Investment Advisory Team 203.532.7000 info@northcoastam.com NORTHCOAST ASSET MANAGEMENT An established leader in the field of tactical investment management, specializing in quantitative research
More informationExchange Traded Funds A Brief Introduction
Exchange Traded Funds A Brief Introduction spdrs.com What You Need to Know about ETFs ETF Basics Potential Benefits of ETFs ETFs versus Mutual Funds The Role of ETFs in Your Portfolio Our Next Steps Frequently
More informationImproving Foreign Exchange
Improving Foreign Exchange Transaction Effectiveness Introduction Investment advisors have a fiduciary obligation to obtain the most favorable terms in executing securities trades for their clients. For
More informationFrontiers in Best Execution : Perspectives for Investment Managers
Frontiers in Best Execution : Perspectives for Investment Managers The gremlins of portfolio implementation shortfalls have always haunted the halls of investment management. As part of their on-going
More informationGrace Master Disclosure Document- Risk, Margin, Day Trading, Futures, Extended Day, SIPC
Grace Master Disclosure Document- Risk, Margin, Day Trading, Futures, Extended Day, SIPC Thank you for choosing Grace Financial Group LLC. Before you begin trading, please read this document carefully.
More informationOptimal Algorithmic Trading. Dan dibartolomeo Northfield Information Services, Inc. May 2005
Optimal Algorithmic Trading Dan dibartolomeo Northfield Information Services, Inc. May 2005 Topics for Today An apology to those who attend this seminar regularly I ve talked about this topic in some form
More informationAn Empirical Analysis of Market Fragmentation on U.S. Equities Markets
An Empirical Analysis of Market Fragmentation on U.S. Equities Markets Frank Hatheway The NASDAQ OMX Group, Inc. Amy Kwan The University of Sydney Capital Markets Cooperative Research Center Hui Zheng*
More informationThe following securities will commence trading pursuant to unlisted trading privileges on NYSE Arca on March 2, 2016:
Regulatory Bulletin RB-16-28 To: Subject: ETP HOLDERS VANGUARD INTERNATIONAL DIVIDEND APPRECIATION ETF VANGUARD INTERNATIONAL HIGH DIVIDEND YIELD ETF Compliance and supervisory personnel should note that,
More informationMutual Funds Made Simple. Brighten your future with investments
Mutual Funds Made Simple Brighten your future with investments About Invesco Aim When it comes to investing, your sights are set on a financial summit a college diploma, new home or secure retirement.
More informationSession 18, Tools for Evaluating Insurance Portfolio Investment Performance. Moderator: Peter C. Miller, FSA. Presenter: David L.
Session 18, Tools for Evaluating Insurance Portfolio Investment Performance Moderator: Peter C. Miller, FSA Presenter: David L. Braun, FSA Society of Actuaries 2015 Investment Symposium Tools for Evaluating
More informationManaging Intra-Month Purchases of Monthly Leveraged Index Funds
Managing Intra- s of ly Leveraged Index Funds The ly Objective: Direxion 2x ly Leveraged Index Funds The Direxion 2x ly Leveraged Index Funds seek to provide monthly leveraged investment results that are
More informationPROSHARES S&P 500 EX-FINANCIALS ETF
SUMMARY PROSPECTUS SEPTEMBER 17, 2015 SPXN PROSHARES S&P 500 EX-FINANCIALS ETF SPXN LISTED ON NYSE ARCA This Summary Prospectus is designed to provide investors with key fund information in a clear and
More informationBenefits of Separately Managed Accounts
703 Market Street, 18th Floor San Francisco, CA 94103 800.541.7774 Benefits of Separately Managed Accounts Separately Managed Accounts are known under a number of other names including individually managed
More informationEquities Dealing, Brokerage and Market Making
Equities Dealing, Brokerage and Market Making SEEK MORE Fully informed and ready to trade A whole world of information affects the equity markets economic data, global political events, company news and
More informationTrading financial instruments has historically
Electronic Trading in Financial Markets Terrence Hendershott Trading financial instruments has historically required face-to-face communication at physical locations. The Nasdaq over-the-counter market
More informationTransaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets
Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets Larry Harris Fred V. Keenan Chair in Finance USC Marshall School of Business Disclaimer I only speak for me.
More informationInvestment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients
Investment Portfolio Management and Effective Asset Allocation for Institutional and Private Banking Clients www.mce-ama.com/2396 Senior Managers Days 4 www.mce-ama.com 1 WHY attend this programme? This
More informationDYNAMIC DIVERSIFIED FUND
DYNAMIC DIVERSIFIED FUND The Right Assets at the Right Time The SSgA Dynamic Diversifed Fund uses proven market-aware intelligence to dynamically adjust asset allocation ensuring you are in the right assets
More informationUMA Model Portfolios Professional Advice for Your Unified Managed Account
UMA Model Portfolios Professional Advice for Your Unified Managed Account B The introduction of unified managed accounts has helped many investors to consolidate and streamline their investment portfolios.
More information30% 5% of fixed income mutual funds paid capital gains in 2015
FIXED INCOME ETFs: NEW ASSET CLASS, SAME BENEFITS Exchange Traded Funds ( ETFs ) first appealed to equity investors, providing efficient access to the world s stock markets and they have revolutionized
More information