Basic Program on Algorithmic Quantitative Trading
SKU: YJ592DA6404
Rs. 10620 Rs. 10620 ( % Off )
Check availability at:
* For Indian Pincodes only

  • Basic Program on Algorithmic Quantitative Trading

Classroom Course

 

Basic Info           : Course on Algorithmic Quantitative Trading Level                   : Beginner Commitment     : 12 hours of study, 2 Days, 8 sessions of 1.5 hours Language           : English How To Pass       : Attend all sessions and complete all assignments to pass the course

What Will I Learn

At the end of this course you will:
  • Network with data providers & brokers
  • Automate your own trading strategies
  • Join Quant & Algo-trading firms
  • Start your own Algo trading desk

Curriculum

SESSION 1 SESSION 2 SESSION 3 SESSION 4 SESSION 5 SESSION 6 SESSION 7 SESSION 8

  • 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
  • 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
  • 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
  • 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
  • Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker
  • Testing methods and live trading consideration
  • Trading costs: spreads, brokerage, turnover charges
  • Roles: trader, quant, IT, risk manager, compliance
  • 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
  • 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
  • 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
  • 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 AT in next 3-5 years – India and globally
 

Includes

Interactive Sessions

Session-specific Assignments

Certificate from BSE Institute

Training 5 or more people ?

We provide custom courses and group sessions as well. To know more about our Customized Programs, click here.

Try BSE Business

 

How It works

Live Classroom Sessions
Each session is interactive and informative, featuring Case Studies quizzes and projects.

Interact, Learn and Grow
Be a part of the BSE Institute Community. Interact, in person, with expert faculty other learners and debate ideas, discuss course material, and get help mastering concepts.

Get Certified
Earn official recognition for your work, and share your success with friends, colleagues, and employers. A BSE Institute Certificate is a valuable asset.