1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "Systematic Trading Strategies

Transcription

1 1 DAY MANAGEMENT DEVELOPMENT PROGRAM ON "Systematic Trading Strategies

2 P R O G R A M M E SYSTEMATIC TRADING STRATEGIES Program for Brokers / Retail Clients / Day Traders / Positional Traders OVERVIEW The 1 day training session on Systematic trading strategies for retail clients, day traders and positional traders has been designed with a view point of making the members aware of various systematic trading strategies which can yield consistent returns with low volatility. Since the day traders / short term traders has a mandate to yield returns from varied market circumstances, we shall be explaining them various intra-day strategies which they can develop and test on Excel sheets practically for using on a daily basis. For traders who want to benefit from overnight international market moves, BTST/STBT strategies and how to develop and test them shall be explained. Thirdly for positional traders, strategies dealing with hourly / half-hourly candle trend following and pair trading shall be explained in detail. The objective of the program will be to help the participants equip with various tools at their disposal while they develop, test and use their strategies to yield returns. Focus and emphasis on Risk management and simple technique to automate / systematize their strategies will also be laid stress upon. PROGRAMME OBJECTIVE These systematic trading strategies in today's Indian market scenario are gaining huge traction owing to its disciplined nature and an ability to withstand varied market conditions. Participants will be made aware of creation, designing and development of these strategies from scratch and how they can take advantage of these strategies with minimal cost and infrastructure in place. 1

3 P r o g r a m C o n t e n t Day 1 Session Session I TimeTopic 9.30 AM AM"Introduction to systematic trading Ÿ Building blocks AM AM Tea/Coffee Break Session II 1.15 PM PM Lunch Session III Ÿ What, why, how, where of Systematic Trading Ÿ Introduction to agency and prop side algorithms Ÿ Prop algo: Pairs, Trend following, High frequency etc AM PM"Mathematical elements of Systematic Trading (std, correl analysis) Ÿ Spread, volume curve and volatility introduction Ÿ Mean reversion (Pairs Trading) and momentum introduction Ÿ Using Technical Analysis with Systematic Trading Ÿ Hands on training on designing an automated pair-trading / trend following strategies on Excel 2.15 PM PM Ÿ Market making (sell-side) vs. liquidity extraction (buy-side) Ÿ Trend following, pair trading, delta neutral strategies, arbitrage Ÿ BTST-STBT Strategies 3.45 PM PM Tea/Coffee break Session IV Ÿ Systematically Trading Options - Volatility Arbitrage and Theta decay Ÿ Life cycle in development of Systematic Trading Strategy Ÿ Hands on in back-testing and Monte Carlo simulation 4.00 PM PM Ÿ Introduction to HFT strategies Ÿ Introduction to risks in Systematic Trading Strategies Ÿ Mistakes people make and how they don't control risk Ÿ Risk management in design and when live Ÿ Why quants fail (E.g.: LTCM)? Is it a new age nuclear race? Ÿ Examples from 1987, 2001 to recent US intra-day crash Ÿ Speed, co-location, latency, precision and scalability Ÿ Trading costs: spreads, brokerage, turnover charge 2

4 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. 3

5 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: November 29, Time: 9:00 AM to 05:30 PM Venue: National Stock Exchange of India Ltd. FEE & REGISTRATION Training Fee: Rs. 4,250 plus 12.36% Tax (Total: Rs 4,775.30) (Special discount of 10% for a group of 3 or more participants attending together as a team.) The fee includes tuition, presentation material, etc. PAYMENT MODE: DEMAND DRAFT Account payee demand draft drawn in favour of "NATIONAL STOCK EXCHANGE OF INDIA LIMITED", payable in Chennai, should reach NSE at least seven days before the commencement of the program. FOR ANY FURTHER QUERIES PLEASE CONTACT Ravi Jain (Mob: ) Mahesh Hariharan (Mob: ) Landline: [email protected] (Limited Seats) 4

6 MDP NOMINATION FORM 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. Rs. 4,250 plus 12.36% Tax (Total: Rs 4,775.30) payable at Chennai 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 Mahesh Hariharan (Mob: ) National Stock Exchange of India Limited 8th Floor, Arihant Nitco Park, 90 Dr. Radhakrishnan Salai, Mylapore, Chennai Landline: [email protected] 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

7 NATIONAL STOCK EXCHANGE OF INDIA LTD. Exchange Plaza, Plot no-c1, G block, Bandra-Kurla Complex Bandra (E), Mumbai Tel No - (022) [email protected] Website: