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Table Of Contents

Why algorithmic trading?
Prop Trading
Agency Trading
The building blocks
Defining the end goal
Defining the set of rules
Why Mathematics & Statistics?
The Mathematics
Normal vs. other distributions
Time series modeling
Mean and Variance
Mean reversion modeling
Generic time series modeling
Cluster analysis and PCA
The volatility
The spread
The market curve
The size of algorithmic-trading
The volume rush
The Global Rush
The Growth Path
The Geographical Divide
The Regulatory Structure in US
Identify Trading Patterns
Steps in back-testing
Alpha generation
Monte-Carlo simulation
Transformation –Trade to Equity Curve
The equity curve (portfolio return)
The Equity Curve
The Litmus Tests
Stress Test
Simulated Trading
Automated execution
Going live
What is Risk?
Systematic Risks
Systematic risk mitigation
Non systematic risks
The returns
Example: Pair-trading in India
The major costs
Roles -Trader
Roles -Quant
Roles -IT
Roles –risk manager / compliance
Agency algorithms
Reliance: Intraday VWAP
Agency trading –VWAP,TWAP
Agency trading –Inline, Aggressive, Passive
Agency trading –Liquidity pools
Prop algorithms
Prop trading –Arbitrage
Pair trading example
Prop trading –Mean reversion
Trend Momentum example
Prop trading –Momentum
Prop trading –High frequency
Diagram for HFT
Prop trading –Low frequency, Long/Short
Factor model example
Launch of algorithmic trading
Client driven
Product driven
The costs
The system integration
party in India
Revenue models in agency algorithms
Revenue models on prop side
Competitive factors
The exchange regulatory structure
The potential
The cost structure –pros and cons
Trends in Indian market
Current state of Algorithmic Trading Agency Algos
A note on retail clients -1
A note on retail clients -2
The challenges and positive side
The challenges to Indian exchange
The growth projections
Recommended referrals
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Algorithmic Trading Workshop

Algorithmic Trading Workshop

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Published by fredtag4393

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Published by: fredtag4393 on Jan 22, 2012
Copyright:Attribution Non-commercial


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