Workshop on Algorithm Trading In India

23rd 24th November 2013

Program Coordinator- Ms. Nivya (Ph: 011-49393040) Mr. Kunal (Ph: 011-49393032)

NATIONAL STOCK EXCHANGE OF INDIA LTD.

4 t h Fl o o r , J e e van Vi h a r Bu i l di n g, Pa rl i amen t St r e et N ew D el h i - 1 10 001

OBJECTIVES To equip participants with the dynamics of high frequency trading, giving them precious insight into how the sector works, the tools and techniques used the technology available, advanced strategies. The understanding of financial markets at the level of individual trades occurring over sub-millisecond timescales. The real-world techniques used within the industry Manage transaction costs, analyze new asset classes, solve operational issues, and increase efficiency using technology. How to get a handle on all aspects of high frequency trading: the technical and commercial jargon. To compare and analyze trading technologies and how they can benefit you. To reduce complexity to increase your trading speed and efficiency. How to overcome the challenges and what the future holds for algorithm trading. To assess regulatory changes and their impact on algorithm and HFT strategies.

Algorithmic Trading, Day 1 (November 23, 2013) Session Time Topic Introduction to algorithmic trading (AT) Building blocks of the algorithms What, why, how, where off AT Introduction to agency and prop side algorithms Agency algo: VWAP, TWAP, Inline, Aggressive, Passive Prop algo: Pairs, Trend following, High frequency etc. Introduction to DMA, DSA, dark-pool, flash trading Tea/Coffee Break Mathematical elements of AT (std, correl analysis) Spread, volume curve and volatility introduction Mean reversion and momentum introduction Hands on training on designing a VWAP algorithm on Excel Hands on training on designing an automated pair-trading algorithm on Excel Lunch

Session I

9.30 AM - 11.00 AM

11.00 AM - 11.15 AM

Session II

11.15 AM 1.15 PM

1.15 PM - 2.15 PM

Session III

2.15 PM 3.45 PM

Lifecycle in development of AT Hands on in back-testing and Monte Carlo simulation Alpha generation: hands on using regression in Excel Stress-test and simulated trading Algorithm deployment and execution: CTCL, DMA, FIX etc. Connectivity to liquidity pools: Exchanges, ECN, inter-dealer broker Testing methods and live trading consideration

3.45 PM - 4.00 PM

Tea/Coffee break

Session IV

4.00 PM - 5.30 PM

Introduction to risks in AT Risk management in design and when live Why quants fail (E.g.: LTCM)? Is it a new age nuclear race? Examples from 1987, 2001 to recent US intra-day crash Speed, co-location, latency, precision and scalability Trading costs: spreads, brokerage, turnover charges Roles: trader, quant, IT, risk manager, compliance

Algorithmic Trading, Day 2 (November 24, 2013) Session Time Topic Jargons in AT and what it means to a layman History of AT Automated scalping Transaction cost reduction: VWAP, TWAP, Sniper, Slicers Index arbitrage and Program trading Dark pool strategies Market making (sell-side) vs. liquidity extraction (buy-side) High frequency / Ultra high frequency: low latency trading Trend following, pair trading, delta neutral strategies, arbitrage

Session I

9.30

AM - 11.30 AM

11.30 AM - 11.45 AM

Tea/Coffee break

Session II

11.45 AM - 1.00 PM

Business aspect of AT Launch of AT, target markets, client driven or product driven? Cost of development and deployment: OMS, systems, data, team Integration with internal systems: OMS, compliance, back-office Vendors and 3rd party: data, development, launch, maintenance Revenue models on Agency: brokerage, guaranteed VWAP orders, slippage control, DMA/DSA Revenue models on prop side Competitive factors: slippage, execution, diversified algo Maintenance and improvisation: factors and costing

1.00 PM - 2.00 PM

Lunch

 Session III 2.00 PM 3.15 PM 3.15 PM - 3.30 PM

Global trends in AT What GS, MS, JPM, CS, DB, UBS etc. are doing? Role of AT across multiple exchanges: E.g.: Flash Trading, SOR Business strategies for sustainable growth and profitability globally: new markets, better algo, new products Major trends across US, Europe and Asia-Pac Government and regulatory structures globally Volume generated globally using AT vs conventional trading Exchanges, competition and a rush to attract AT volume

Tea/Coffee break

Session IV

3.30 PM - 5.30 PM

Where India stands in AT Current regulatory approvals and exchange initiatives in India Taxation, transaction cost in India: set-back to AT? Current trends in India market: agency side, prop side Current state of AT: Institutions (large orders) and arbitrage Is AT possible and profitable at retail client level: If yes how? Indian exchange challenges: cancellation, consumption of bandwidth, mad-liquidity rush, critical network issues Growth projections in volume, market share and turnover using AT in next 3-5 years India and globally

Faculty Profile Mr. Manish Jalan Educational qualification B.Tech, Mechanical Engineering, IIT Bombay M.Tech Computer Integrated Manufacturing, IIT Bombay Professional experience Independent consultant and Advisor to Financial Institutions on Algorithmic trading Credit Suisse, Mumbai, India (Dec2008 Mar2010) [Associate VP, Algorithmic Trading, Prop Desk] Merrill Lynch JapanProprietary Desk, Tokyo, Japan (Apr2005 Jul2008) [Quant Equity Trader] Simplex Technology, Inc., Tokyo, Japan (Jul2004 Jan2005) [Quantitative Analyst] Aditi Technologies, Bangalore, India (Jul2003 Jun2004) [Technical Analyst]

Algorithmic Trading strategy developer with over 5 years of experience. Expert level understanding of algorithmic trading, statistical arbitrage, high frequency trading and systematic model development. Worked across all major Asia-Pac equity markets, including India. Managed portfolio of over 100 million dollar Long/Short using systematic quantitative algorithmic trading strategies. Strategies worked on Automated High Frequency strategy [Equities and Commodities] Ultra High Frequency strategy [Automated Market Making] Statistical Arbitrage on Very High and Medium Frequency BTST-STBT strategies - On High and Medium Frequency Equity Basket Long/Short on Factor Analysis Agency Side Algorithms like VWAP, TWAP, Dark-Pool Execution etc.

Key strengths Quantitative modeling Back testing and pattern recognition in the markets Statistical analysis using Matlab and R Programming using Java, Excel VBA, C++, C# Systematic Risk Management Agency side algorithmic trading using spreads and market curve Algorithmic trading expertise in VWAP, TWAP and dark-pool executions