Trading Beyond Human Capabilities Live Algorithms. Kai Zimmermann Chair of Business Administration, especially e-finance

Transcription

1 Trading Beyond Human Capabilities Live Algorithms Kai Zimmermann Chair of Business Administration, especially e-finance

2 Who we are and what we do Chair of Business Administration, especially e-finance Topics: Prof. Dr. Peter Gomber Theory and practice of international securities markets Impact of regulatory changes on financial markets and financial institutions Transformation of intermediation relationships on financial markets Innovative concepts and technologies in brokerage and trading 2

3 Securities trading is changing 3

4 100% 90% 80% 70% 60% 50% 40% 30% 20% 10% 0% Lecture Lecture remains the same Exercise AT & related Rest Innovative concepts and technologies like Algorithmic Trading (AT) and High- Frequency (HFT) trading became a major topic within our lectures but slide-based teaching has proven to be very elusive. Example-based strategy definition Academic studies related to AT and HFT Mainly text-orientated exercises Theoretical backgrounds 4

5 Aim: Live Algorithms To comprehensively modify and renew the teaching concept on innovative trading concepts and technologies with practical components. Step 1: Live Markets Self-developed trading simulation Live X to teach basic market microstructure Step 2: Live Algorithms A professional order management system focused on the development, testing, monitoring and implementation of trading algorithms Based on a cooperation with Realtime Systems (Deutschland) AG 5

6 RTS TANGO Tango system provides access to multiple assets in multiple trading venues simultaneously. Tango allows for experimental real-time tick data from the Xetra system. Client-server-based application is web-based and active for 24h. e F inance Students can develop their own algorithms and implement them via a javabased source code. Students can build up strategies via different parameterization. Students can test these strategies in an live market environment with a real-time data feed. 6

7 Project conceptualization Within the SS 2012 RTS Tango was part of the lecture s exercise on Brokerage and Standards in Securities Trading (EFN2) 38 participating student Implementation via Case Study based on: Several instructed exercises on system operation and handling accompanied by the introduction on basic benchmarks and algorithms in the lecture A free training / program session Group tasks to modify, invent or repair an algorithm based on given specifications and objectives Final group presentation and Q&A Participation in case study including algorithm programming, presentation and Q&As (20%) 7

8 A modern infrastructure for Live Algorithms Trading Lab with 20 working places allows for interactive learning environment Simplifies administration efforts Administration tool allows for account-based monitoring and support 8

9 To close to reality? Themenmotivation: Am 06. Mai 2010 erlebten die Aktienmärkte in den USA den größten Kurssturz seit Mitunter gilt ein unvorsichtig parametrisierter Algorithmus als Auslöser des starken Verkaufsdrucks Aufgabe: Entwickeln und implementieren Sie einen Algorithmus, der ein durch den Trader vordefiniertes Zielvolumen am Markt wahlweise erwirbt oder verkauft. Dabei soll das Zielvolumen auf beliebig viele. Zusatz: Erweitern Sie den Algorithmus um die Möglichkeit, das Volumen für jede Teil-Order neu zu bestimmen 9

10 Project evaluation Evaluation Case Study "Algorithmic Trading" Semester: SS 2012 Auswertung: Note (Beste Bewertung: 1) Thema Evaluation Ø Die Durchführung der RTS Tango Übung ist eine wichtige Ergänzung zur Vorlesung Ich würde die RTS Tango Veranstaltungen weiterempfehlen Bewertung der Dozenten Bewertung der Technik (RTS Tango Software und Lab) Gesamtbewertung der RTS Tango-Übung Realistic and useful extension of the e-finance lecture Essential extension of the e-finance exercises Interactive learning 10

11 Outlook Likewise Live Markets, Live Algorithms will be a integrated in future e-finance lectures in order to practically enrich lecture and exercises. We are currently updating the RTS Tango software und exercise structure Key focus to improve the instructed exercises Working space constrains RTS Realtime Systems AG currently provides server infrastructure as well as technical support and administration Release of the Tango back-testing toolbar and RTD Tango Trader 1.17 Minor Hardware issues Usable within a master or bachelor thesis 11

12 End Thank you! 12