2DAY EXECUTIVE WORKSHOP ON
ALGORITHMIC TRADING
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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.
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Day 1
Session Time Topic
Session I 9.30 AM - 11.00 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
11.00 AM - 11.15 AM Tea/Coffee Break
Session II 11.15 AM - 1.15 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 - 2.15 PM Lunch
Session III 2.15 PM - 3.45 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 - 4.00 PM Tea/Coffee break
Session IV 4.00 PM - 5.30 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
Day 2
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Session Time Topic
Session I 9.30 AM - 11.30 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, Options Trading " Dark pool strategies
" 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
11.30 AM - 11.45 AM Tea/Coffee break
Session II 11.45 AM - 1.00 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
1.00 PM - 2.00 PM Lunch
Session III 2.00 PM - 3.15 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
3.15 PM - 3.30 PM Tea/Coffee break
Session IV 3.30 PM - 5.30 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
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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 many International brokers and numerous International Banks in algorithmic trading, high frequency trading, statistical arbitrage, quantitative modeling, back testing, programming, statistical analysis, econometrics, fundamental analytics 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.
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.
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FOR ANY FURTHER QUERIES AND FOR ONLINE PAYMENT OPTION PLEASE CONTACT
Ms. Parnavi: +91 8879185225 (D) 022-25045058 | Ms. Tejal: +91 9967073866 (D) 022-25045245 Email: pwaghmare@nse.co.in/crmsupport-mumbai@nse.co.in
Limited Seats
MANAGEMENT DEVELOPMENT PROGRAM IS A TWO DAY EXECUTIVE WORKSHOP
Date: September 18th and 19th, 2015 | Time: 10:00 AM to 6:00 PM
Venue: NSE, Exchange Plaza, C-1, Block-G, Bandra Kurla Complex, Mumbai- 400051.
FEE & REGISTRATION
Training fee: Rs 18,000 plus 14 % Tax (Total: Rs 20,520) The fee includes tuition, presentation material, etc.
(Special discount of 10% for a group of 3 or more participants attending together as a team.)
PAYMENT MODE: DEMAND DRAFT AND ONLINE PAYMENT
Account payee demand draft drawn in favour of "NATIONAL STOCK EXCHANGE OF INDIA LIMITED", payable in Mumbai, should reach NSE at least seven days before the commencement of the program.
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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. 20,520/- (Inclusive of taxes) payable at Mumbai 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 Ms. Parnavi: +91 8879185225 Ms. Tejal: +91 9967073866
National Stock Exchange of India Limited
6th Floor, Kohinoor City, Tower-1, Commercial-II, Kirol Road, Off. L.B.S. Marg, Kurla (W), Mumbai-400070, India
Landline: +91 22 25045245/48 | Email: pwaghmare@nse.co.in/crmsupport-mumbai@nse.co.in
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