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Impact of Brexit and Recent Market Events on Algorithmic Trading - 19 July 2016

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Published on

Tuesday, July 19, 2016
06:00 PM IST | 08:30 PM SGT | 12:30 PM GMT

Introduction: Recent global event such as Brexit and the subsequent volatility in the currency market has spooked a lot of investors. Increase in Risk aversion following such an event is a natural outcome, as market participants exercise caution while trading.

However, even during such tumultuous times, automated traders are having a field day. According to media reports, hedge funds using algorithmic trading are regularly outperforming the manual traders, and especially during such stressful market conditions.

Informative Session Contents:

Biggest trading events so far in this season
- Brexit & its impact on different market participants on that day globally
- Impact of hike in transaction cost. Case in point: STT hike by SEBI in India
- How Algorithmic trading firms have reacted to such events?

What it takes to become a Quant/Algo trader?
- Industry requirements
- Skills and knowledge required
- How Quantinsti’s Executive Program in Algorithmic Trading help?

Q & A – Ask an Algorithmic & Quantitative Trading Expert

Speaker’s Profile:

Mr. Nitesh Khandelwal, Co-Founder iRageCapital Advisory Ltd

Nitesh has a rich experience in financial markets spanning across various asset classes in different roles. He co-founded iRageCapital Advisory Private Limited, which is a trusted name in the space of providing Algorithmic Trading technology and strategy services in India. He led the business side for iRageCapital and QuantInsti. At QuantInsti, he was also the head of department for training in derivatives & inter-market studies. He’s currently the Director at iRage Global Advisory Services Pte Ltd based in Singapore.

He had prior experience in bank treasury (FX & Interest rate domain) and in proprietary trading desk. He did his Bachelors in Technology in Electrical Engineering from IIT Kanpur before doing his Post graduation in Management from IIM Lucknow.

Know more about QuantInsti's Algo trading course at http://www.quantinsti.com/epat/

Published in: Economy & Finance
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Impact of Brexit and Recent Market Events on Algorithmic Trading - 19 July 2016

  1. 1. QuantInsti Nitesh Khandelwal July 19, 2016 Algorithmic Trading & Recent Market Events
  2. 2. Market Event 2 Anything 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 High Profit Potential: High Disruption: High Price Volatility: High to Extremely High Profit Potential: Extremely High Disruption: Limited Volatility: Low Profit Potential: Low Disruption: Limited
  3. 3. The Swans BREXIT $ 2 trillion wiped out GBP crashed by 10% Margin requirements shot up STT Hike SNB SNB Removes Peg with Euro 0 50000 100000 150000 200000 1 2 3 4 5 May-16 Jun-16 STT increased from 0.017% to 0.05% from Jun 2016 Day of RBI Policy Announcement Daily Nifty Options Volume
  4. 4. Impact on HFT 4 Source: http://blogs.wsj.com/moneybeat/2016/06/24/virtu-shares-rise-as-trading-volume-soars-on- brexit-fears/ 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 http://m.dailyhunt.in/news/india/english/business-standard-epaper-bizzstand/stt-hike-on-options-to-pinch- high-volume-traders-newsid-53872418
  5. 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 5
  6. 6. What helps HFT makes money? 6 V O L U M E S V O L A T I L I T Y 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
  7. 7. No Free Lunches 7 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
  8. 8. Skill Sets Overview 8 Number Crunching & Patterns Mathematical & Statistical Understanding Connections Understanding of Technology & Market Microstructure Typing Speed! Financial Computing & Infrastructure Financial markets understanding Financial Markets Understanding Conventional Trading Success Recipe Algorithmic Trading Success Recipe
  9. 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 9
  10. 10. EPATTM Curriculum
  11. 11. 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 11
  12. 12. Opportunities 12 Distribution of current openings at QuantInsti Placement Cell currently. Research Analyst 12% Equity Sales 6% JavaProgrammer 5% LFT/HFT 11% Quant Analyst 17% Quant Developer/Progra mmer 9% Quant / Algo Trader 6% Algo Product Head 1% Head Algo Risk 1% Derivative/Equity Trader 3% Advisory 6% Strategy Developer 2% Senior Manager: Product Development and Maintenance 2% Others 17% Trading Strategist 2% Job Openings
  13. 13. EPAT Alumni 13
  14. 14. EPAT Alumni 14
  15. 15. ThankYou Merci Danke Gracias Arigato Asante Grazi Shukriya contact@quantinsti.com/+91–9920–44-88–77/+65–9057–8301 GoAlgo!JoinQI’sEPATTM (ExecutiveProgrammeonAlgorithmicTrading) Visit:www.quantinsti.comformoreinformation. Question & Answers
  16. 16. To Learn Automated Trading Email: contact@quantinsti.com Connect With Us: SINGAPORE 30 Cecil Street, #19-08, Prudential Tower, Singapore – 049712 Phone: +65-9057-8301 INDIA A-309, Boomerang, Chandivali Farm Road, Powai, Mumbai - 400 072 Phone: +91-022-61691400

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