Two-Day programme
Practical examples and computer simulations are used throughout the course
History and recent developments
- Evolution of algorithmic trading
- Scope of algorithmic trading today
- Current and future changes in the marketplace
- Regulatory and infrastructure aspects
Classification of algorithms
- Speed critical/static algorithms
- Intelligence critical/dynamic algorithms
- High frequency algorithms
- Low frequency algorithms
Sell side vs. buy side usage and issues
- Buy side usage and opportunities
- Sell side usage and opportunities
- Key requirements for the respective platforms
- Operational and market impact
System options and requirements
- Building vs. buying a system
- Insourcing vs. outsourcing
- Showcase: What is available? What has to be built?
- Basic platform design and setup
- Sample rapid deployment options
Efficient algorithm selection and specification
- Choosing the appropriate algorithms
- Designing algorithms for maximum impact and reliability
- Conquering complexity and dependence issues
- Algorithm and platform/infrastructure interaction issues
Impact of algorithms on market micro and macro structure
- Market micro structure and algorithms
- Market macro structure and algorithms
- Impact of algorithms on the market
- Examples of how to exploit rather than being exploited by changing market structures
Algorithms for active/passive trading and portfolio management
- Differences in requirements/prerequisites for different styles
- Appropriateness of strategies and operational/regulatory pitfalls
- Active trading/portfolio management issues and strategies
- Passive trading/portfolio management issues and strategies
Practical examples of algorithms and their usage
- Simple and off the shelf algorithms and tools in practice
- Complex algorithms and practical implementation
- Combining off the shelf tools and custom extensions
- Managing an algorithmic trading platform in practice