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QuantInstiNitesh KhandelwalJuly 19, 2016
Algorithmic Trading & Recent Market Events
2
Market EventAnything significant that can impact the markets in terms of price movement or market microstructure
Planned Events with Unknown Outcome
Unplanned Events
Planned Events with Known Outcome
Volatility: Extremely HighProfit Potential: HighDisruption: High
Price Volatility: High to Extremely HighProfit Potential: Extremely HighDisruption: Limited
Volatility: LowProfit Potential: LowDisruption: Limited
The Swans
BREXIT $ 2 trillion wiped out
GBP crashed by 10%
Margin requirements shot up
STT Hike
SNB
SNB Removes Peg with Euro
1 2 3 4 50
20000400006000080000
100000120000140000160000180000
May-16Jun-16
STT increased from 0.017% to 0.05% from Jun 2016
Day of RBI Policy Announcement
Daily Nifty Options Volume
4
Impact on HFT
Source: http://blogs.wsj.com/moneybeat/2016/06/24/virtu-shares-rise-as-trading-volume-soars-on-brexit-fears/
BREXIT
It wasn’t the STT hike but the fall in volume it led to, that hurt HFT and other market participants temporarily
Source: http://www.efinancialnews.com/story/2015-01-22/high-speed-firms-profit-from-swiss-franc-move
SNB
http://m.dailyhunt.in/news/india/english/business-standard-epaper-bizzstand/stt-hike-on-options-to-pinch-high-volume-traders-newsid-53872418
STT
5
BREXIT Impact• FX volumes multiplied on June 23-24• Significant activity over the whole month• Planned event Liquidity didn’t dry up totally• Participation from Banks & Non-banks alike• Liquidity ensure smooth transition unlike SNB
event
6
What helps HFT makes money?
VOLUMES
VOLATILITY
MARKET MAKING
ARBITRAGE
ML/DIRECTIONAL
MR NEWS/Sentiment
Low Volatility: Bid Ask Spread
High Volatility: Multi Exch/Asset, Lead/Lag
Volatility: Results in disparity
Volume: Opportunities
Multiple Trades
Tick based decisions
Early Reaction
Unplanned Events: Extra Bonus
FACTORS STRATEGY LOGIC
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No Free Lunches
Where else?• Colo/Datacenters• Trading Lines• Inter Destination lines• Technology Development• Hardware• Salaries
• Reasonable gestation period between infra/tech investment & returns• Technology disruption• Business Environment Changes
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Skill Sets Overview
Number Crunching &
Patterns Mathematical & Statistical
Understanding
ConnectionsUnderstanding of Technology
& Market Microstructure
Typing Speed!
Financial Computing & Infrastructure
Financial markets
understanding Financial Markets
Understanding
Conventional Trading Success Recipe
Algorithmic Trading Success Recipe
9
What is EPATTM
Executive Programme in Algorithmic Trading• 6-months long online programme • 100 hours of live interactive lectures• 200 hours of additional course work • Live industry project under mentorship of practitioners• Industry experts and professionals as teaching faculty• A pool of more than a dozen faculty members including Dr. Ernest Chan,
Rajib Ranjan Borah, Dr. Yves Hilpisch • 24/7 access to content through new age online learning portal (LMS)• Dedicated support team for quick query resolution
EPATTM Curriculum
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EPATTM Modules
Module 1: PRIMER
Module 2: INTRODUCTION
Module 3: STATISTICS with EXCEL
Module 4: OPTIONS, DERIVATIVES and RISK
Module 5: ADVANCED STATISTICS with R
Module 6: QUANTITATIVE TRADING STRATEGIES
Module 7: BUSINESS ENVIRONMENT
Module 8: ALGORITHMIC TRADING PLATFORM
Module 9: PROJECT/Final Exam
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Opportunities
Distribution of current openings at QuantInsti Placement Cell currently.
Research Analyst12%
Equity Sales6%
JavaProgrammer5%
LFT/HFT11%
Quant Analyst17%
Quant Developer/Programmer9%
Quant / Algo Trader
6%
Algo Product Head2%
Head Algo Risk2%
Derivative/Equity Trader
3%
Advisory6%
Strategy De-veloper
2%
Senior Manager: Product Devel-
opment and Maintenance
2%
Others 17%
Trading Strategist2%
Job Openings
13
EPAT Alumni
14
EPAT Alumni
Thank You Merci Danke Gracias Arigato Asante
Grazi Shukriya
[email protected] / +91 – 9920 – 44 - 88 – 77 / +65 – 9057– 8301
Go Algo! Join QI’s EPATTM (Executive Programme on Algorithmic Trading)Visit: www.quantinsti.com for more information.
Question & Answers
Terima Kasih
To Learn Automated Trading
Email: [email protected]
Connect With Us:
SINGAPORE30 Cecil Street, #19-08,Prudential Tower,Singapore – 049712Phone: +65-9057-8301
INDIAA-309, Boomerang,Chandivali Farm Road, Powai,Mumbai - 400 072Phone: +91-022-61691400