Welcome to Scribd, the world's digital library. Read, publish, and share books and documents. See more
Download
Standard view
Full view
of .
Save to My Library
Look up keyword or section
Like this
12Activity

Table Of Contents

Why algorithmic trading?
Prop Trading
Agency Trading
The building blocks
Defining the end goal
Defining the set of rules
Exercises
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
Regression
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
Back-testing
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
Costs
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
Summary
0 of .
Results for:
No results containing your search query
P. 1
DnB Algorithmic Trading Workshop

DnB Algorithmic Trading Workshop

Ratings: (0)|Views: 204 |Likes:
Published by mhtrade

More info:

Published by: mhtrade on Mar 04, 2012
Copyright:Attribution Non-commercial

Availability:

Read on Scribd mobile: iPhone, iPad and Android.
download as PDF, TXT or read online from Scribd
See more
See less

07/14/2013

pdf

text

original

You're Reading a Free Preview
Pages 7 to 33 are not shown in this preview.
You're Reading a Free Preview
Pages 37 to 42 are not shown in this preview.
You're Reading a Free Preview
Pages 46 to 120 are not shown in this preview.

Activity (12)

You've already reviewed this. Edit your review.
1 hundred reads
1 thousand reads
Bill Hallman liked this
limesinferior liked this
buyanalystlondon liked this
David Quah liked this
Glenn Hackter liked this
MyDoc09 liked this
mm18881 liked this

You're Reading a Free Preview

Download
/*********** DO NOT ALTER ANYTHING BELOW THIS LINE ! ************/ var s_code=s.t();if(s_code)document.write(s_code)//-->