ALGORITHMIC TRADING WORKSHOP

Presenters: Rajib Borah, Co-founder & CEO, iRage and Douglas Castilho, University of São Paulo and OptiRisk Systems

This training is also available (i) in-house, (ii) in multiple geographies [UK; Europe; South Africa; Australasia; India; SE-Asia] and (iii) online. Please contact info@unicom.co.uk

9:00 – The Evolving Architecture of Automated Trading Systems

Presenter: Rajib Borah, Co-founder & CEO, iRage

By properly leveraging the power of technology, a trader can increase the profitability of an already profitable systematic trading strategy multi-fold. This session looks at the evolution of algorithmic trading systems – and the efficiency introduced at each step.

After this session, participants will be able to understand the different ways in which different components of an automated trading system fit together. This knowledge will enable them to extract higher mileage from their trading systems. Furthermore, this session breaks down technical complexities to functional implications in a way that will be of value to quantitative traders. This and the other sessions are designed in the form of interactive conversations with participants.

10:30 – Advancements in the field of high-frequency trading

Presenter: Rajib Borah, Co-founder & CEO, iRage

We will look at new advances in the field of automated trading – both technological as well as structural changes in the industry.

Objectives & learning outcomes:

After this session, participants will be able to comprehend the way the automated trading industry is evolving- especially the next generation innovations. This will enable them to make business decisions for the future in an informed way.

13:00 – Case studies from High Frequency Trading – market micro-structure in the micro/nanosecond time frame

Presenter: Rajib Borah, Co-founder & CEO, iRage

We will look at a few case studies of how HFT strategies work in the micro-second and sub micro-second time-frame. These case studies will introduce participants to additional aspects of complexity that traders trading in the high frequency time frame have to deal with. We will also look at a few case studies of failures from the world of automated trading – failures which have ruined some of the biggest and most successful automated trading firms.

Objectives & learning outcomes:

After the workshop, participants will be able to start thinking about market events from the perspective of tick level events. These will enable them to build newer trading strategies (or implement better execution systems for existing trading strategies), and also be aware of potential issues when they build new trading strategies. The case studies on risk failures will alert them to potential pitfalls and how to guard against them.

14:45 – Applying machine learning to algorithmic trading strategies – Part I

Presenter: Douglas Castilho, University of São Paulo and OptiRisk Systems

The objective of this course is to show you how to create databases from your own strategies and adapt it by them for Machine Learning Methods. Besides presenting different generic algorithmic trading strategies, some machine learning methods are also explained with a discussion about different kinds of validation processes. This section comprises 2 parts; each 1.5 hours duration.

15:45 – Applying machine learning to algorithmic trading strategies – Part II

Presenter: Douglas Castilho, University of São Paulo and OptiRisk Systems

The objective of this course is to show you how to create databases from your own strategies and adapt it by them for Machine Learning Methods. Besides presenting different generic algorithmic trading strategies, some machine learning methods are also explained with a discussion about different kinds of validation processes. This section comprises 2 parts; each 1.5 hours duration.

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