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QuantInstiNitesh KhandelwalMay 24, 2016
Information Session about Algorithmic Trading & EPATTM
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Algorithmic Trading
Automation & Statistical/Mathematical Inputs– Technology– Infrastructure– Strategy• Ideation• Modeling •Optimization• Execution
– RMS
Investopedia Definition: Algorithmic Trading is the process of using computers programmed to follow a defined set of instructions for placing a trade in order to generate profits at a speed and frequency that is impossible for a human trader
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Technology Evolution
Trading
Automobiles
Computing
Smart phones
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Algorithmic Trading Volumes
MCX2
Commodity Volume (INR 10 million)
% of Algo Volume
CRUDEOIL 5557.68 36.32
GOLD 3496.76 25.94
SILVER 2005.18 34.02
ZINC 1417.55 20.49
COPPER 1244.47 32.19
NATURALGAS 1053.48 31.50
CME1
Instrument % AT Volume
E-mini S&P 500 Futures 51.66%
EuroFX Futures 69.32%
Eurodollar Futures 51.29%
10-Yr T-Note Futures 49.88%
Crude Oil Futures 35.34%
NSE3
CM Segment 44%
F&O Segment 45%Sources1 cmegroup.com 2 mcxindia.com
3 National Stock Exchange of India
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Trading Infrastructure spending
Where else?• Colo/Datacenters• Trading Lines• Inter Destination lines• Technology Development• Hardware• Salaries
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Skill Sets Overview
Number Crunching &
Patterns
Typing Speed!
Financial markets
understanding
Connections
Mathematical & Statistical
Understanding
Financial Computing
Understanding of Technology
& Market Microstructure
Financial Markets
Understanding
Conventional Trading Success Recipe Quantitative Trading Success Recipe
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Opportunities
Distribution of current openings at QuantInsti Placement Cell currently.
LFT/HFT15%
JavaProgrammer8%
Equity Sales5%
Research Analyst8%
Quant Analyst21%
Quant Devel-oper/Pro-grammer
8%
Quant / Algo Trader
8%
Algo Product Head3%
Head Algo Risk3%
Derivative/Equity Trader
5%
Advisory10%
Strategy De-veloper
3%
Senior Manager: Product De-velopment and Maintenance
3%Core Platform Manager
3%
Current Openings
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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 traders• Industry experts and professionals as teaching faculty• A pool of more than a dozen faculty members including Dr. Ernest Chan,
Rajib Ranjan Borah, Tad Slaff , Dr. Yves Hilpisch • 24/7 access to content through new age online learning portal (LMS)• Dedicated support team for quick query resolution
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Why EPATTM?
Practical Exposure• Acquire the knowledge, tools &
techniques used by traders in the real world
Domain Experts & Support• The EPAT faculty is an acclaimed
team of academicians and professionals who are all specialists in the field
Career Services• Our career services and job
resources become available to you the moment you sign-up and last throughout your professional career
Get Certified• On successful completion of the
program participants will receive a Certificate from QuantInsti Quantitative Learning Pvt. Ltd.
Live Lectures• Stimulating exercises• Sample code and spreadsheets• Live one-to-one interactive
lecturer support
EPATTM Curriculum
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EPATTM Evolution
Ever evolving curriculum for the ‘high frequency’ industry:• Curriculum gets updated as per the changes in the industry • Most recent changes:
– From C++ to Python– Institutional trading platforms to more affordable platforms– New methodologies: ML forms now 8% of EPAT!– New strategies: Inclusion of MRN & Sentiment Analysis based strategies– Changes accompanied by inclusion of industry experts
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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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EPAT Alumni
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EPAT Alumni
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EPAT Alumni
PAST EVENTS
TFEX, Bangkok QuantInsti, Mumbai MDP @ NSE, Chennai FIX Conference Thomson Reuters
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
