Quality Seal Emagister EMAGISTER CUM LAUDE

Electronic Trading and Algorithmic Execution

London Financial Studies
En London (Inglaterra) yNew York (Estados Unidos), Singapore (Singapur)
  • London Financial Studies

£ 2.690 - (3.196 )
+ IVA

The structure of the course was well organised and had many practical applications included. At the same time that we studied, we entertained ourselves. Course leader is very knowledgeable in the subject matter. Would highly recommend London ...

LA OPINIÓN DE Director - Quantitative

Información importante

Descripción

An analysis of the current state of electronic trading in both Equities and Fixed Income markets with a close look at the electronic Foreign Exchange markets.

The first day of the programme looks at the nature of electronic markets and examines different types of orders and algorithmic execution. Day two focuses on electronic market making and the market microstructure, examining both the market risks and regulatory challenges.

Practical workshops allow delegates to explore the implementation of a market making engine.

Información importante
¿Qué objetivos tiene esta formación?

Gain familiarity with the landscape of electronic markets
Distinguish between different types of exchanges and order types
Learn how to calculate the costs associated with different types of orders in terms of spread and execution certainty
Analyse the various methods of algorithmic execution
Learn how to design a market making engine
Acquire knowledge of the market microstructure and of how to benefit from this
Gain understanding of current regulations with regards to electronic trading

¿Esta formación es para mí?

Quants / Financial engineers
Electronic traders and Book-runners
Algorithmic traders
Execution desks
Sales people
Structurers
Risk managers
Researchers

Requisitos: A basic understanding of capital markets and securities trading.

Instalaciones y fechas

Dónde se imparte y en qué fechas

Inicio Ubicación
05 diciembre 2016
London
34 Curlew Street, se12nd, London, Inglaterra
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A elegir
New York
New York, Estados Unidos
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A elegir
Singapore
The Finexis Building, Singapore, Singapur
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Opiniones

D

24/10/2016
Lo mejor The structure of the course was well organised and had many practical applications included. At the same time that we studied, we entertained ourselves. Course leader is very knowledgeable in the subject matter. Would highly recommend London Financial Studies.

A mejorar Nothing bad.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.
M

25/10/2016
Lo mejor Although it is only a two-day course, it was very insightful and thorough.

A mejorar No negative aspects.

Curso realizado: Octubre 2016 | Recomendarías este centro? Sí.

¿Qué aprendes en este curso?

Algorithmic Trading
Trading
Market
Fixed Income
Equities Derivatives
Microstructure
Electronic Markets
Algorithmic
Electronic Trading
VWAP
Volume prediction
Electronic risk
TWAP
Algorithmic Execution

Temario

Day One

Electronic Markets
  • Overview of e trading in Equities and Fixed Income
  • Exchanges, ECNs and Dark Pools
  • Principal and agency trading
  • The Limit Order Book
Order Types
  • A comparison of different order types
  • Market Orders and Limit Orders
  • Immediate or Cancel, Fill or Kill, Iceberg Orders
Workshop: Comparing order types – spreads and slippage

Algorithmic Execution
  • A look at various methods of algorithmic execution: VWAP, TWAP, Arrival price
  • Volume prediction
  • Slippage and Information leakage
  • Market impact: temporary or permanent
  • Transaction Cost Analysis
  • Almgren Chriss model for optimal execution
Workshop: Algorithmic execution in practice: how to calculate the real cost and achieve best execution

Day Two

Electronic Market Making
  • Components of a market making engine
  • Price streaming and liquidity
  • Pricing and hedging
  • Measuring electronic risk exposure
  • Grossman Miller model for market making
Signals
  • A look at market microstructure
  • Generating Trading Signals
  • Order book imbalance
  • Lead lag, momentum, correlation
Workshop: How to build a trading signal

High Frequency Trading
  • Definitions and examples of HFTs
  • How to build a low latency network
What Can Go Wrong and How to Avoid It
  • Flash crashes
  • The Swiss Franc collapse
  • Knight Capital
Regulation for Electronic Trading
  • Fair and Effective Markets Review
  • Spoofing, layering
  • FX last look
Workshop: How regulation affects markets: last look pricing