In The Speed Traders, Edgar Perez, founder of the prestigious business networking community Golden Networking, opens the door to the secretive world of high-frequency trading (HFT). Inside, prominent figures of HFT drop their guard and speak with unprecedented candidness about their trade.
Op Risk High Frequency Trading June 14 Finaltestytre
Presentation on High Frequency Trading risks delivered during OpRisk conference in London in June 2012. Content includes an overview of key risks affecting high frequency trading.
1. Failure to meet regulatory and exchange requirements.
2. Removal of human decision making once the algorithms are finished.
3. Extreme market behaviour: Flash Crash (2010).
4. Theft or loss of Intellectual Property.
5. Errors or problems suffered by clients using Direct Market Access and Algo/HFT.
6. Business impact of latency (system errors may increase delays).
7. Limited security controls at the infrastructure level.
8. Failure of hedges. 9. Incorrect/untested strategies.
David Ramirez
IT Audit Director
Today’s trading is complex and frequently involves little human intervention. Five years after the "Flash Crash," do you know how high frequency trading and dark pools work? Our new report separates fact from fiction.
EXANTE's lecture at Stockholm School of Economics in Riga.
– Objectives of algorithmic trading
– Various types of algorithms
– The process of creating one
– Testing and evaluation
– Understanding the possible pitfalls (and solutions)
Op Risk High Frequency Trading June 14 Finaltestytre
Presentation on High Frequency Trading risks delivered during OpRisk conference in London in June 2012. Content includes an overview of key risks affecting high frequency trading.
1. Failure to meet regulatory and exchange requirements.
2. Removal of human decision making once the algorithms are finished.
3. Extreme market behaviour: Flash Crash (2010).
4. Theft or loss of Intellectual Property.
5. Errors or problems suffered by clients using Direct Market Access and Algo/HFT.
6. Business impact of latency (system errors may increase delays).
7. Limited security controls at the infrastructure level.
8. Failure of hedges. 9. Incorrect/untested strategies.
David Ramirez
IT Audit Director
Today’s trading is complex and frequently involves little human intervention. Five years after the "Flash Crash," do you know how high frequency trading and dark pools work? Our new report separates fact from fiction.
EXANTE's lecture at Stockholm School of Economics in Riga.
– Objectives of algorithmic trading
– Various types of algorithms
– The process of creating one
– Testing and evaluation
– Understanding the possible pitfalls (and solutions)
Algorithmic trading, also called automated trading, black-box trading, or algo trading, is the use of electronic platforms for entering trading orders with an algorithm which executes pre-programmed trading instructions accounting for a variety of variables such as timing, price, and volume.
Order book dynamics in high frequency tradingQuantInsti
An important task of high-frequency trading is to successfully capture the dynamics in the Data. Empirical Data on Indian Exchanges show that 95% of all NEW orders are placed within 5 ticks of best-bid and best-ask. The Quantinsti® Replacement Matrix shows that most of the orders that are being replaced are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour. This matrix gives a visual representation of the cost metrics and replacement behaviour.
Execution Algorithms provide a price which is between Limit Order Execution and Market Order Execution. Market Orders guarantee execution within a certain time but the price that it may get the trader remains uncertain. Limit Order guarantees the price but it may remain un-executed if price moves away. Most Execution Algorithms balance between these two order types.
The speaker, Mr. Gaurav Raizada, discusses Quantinsti® Replacement Matrix in the webinar along with basics on order book management theory for high frequency traders.
Changing Notions of Risk Management in Financial MarketsQuantInsti
Presentation on "Changing Notions of Risk Management in Financial Markets - Impact of Proliferation of Automated Trading Systems and Technology on Financial Markets".
This presentation explains about the changing landscape of trading risk management, trends in automated trading, major automated trading risk failures, regulatory framework in India and all the risk management process phrases.
This presentation was presented by senior QI faculty and co-founder Rajib Ranjan Borah at the pre-conference workshop of the "India Risk Management Week", in Mumbai at 22nd May 2014.
This presentation will help you understand about risk management in automated trading and give you a clear picture about how automated trading is changing the way of trading in India.
Slides for speech of EXANTE Managing Partners Vladimir Maslyakov and Anatoliy Knyaze , entitled "Practical aspects of algorithmic trading and high-frequency trading", on TradeTech Russia 2011
Presentation highlights the problems associated with the development of a model (pre-trade analysis), the launch of the strategy (trading) and the post-trade analysis, as well as an overview of the algorithmic trading in general, and a small glimpse into the future.
Webinar on Algorithmic Trading - Why make the move? with Vivek Krishnamoorthy...QuantInsti
For the Webinar video, you can also visit: https://blog.quantinsti.com/why-algo-trading-webinar-12-december-2019/
-----------------------------------------
Session Outline:
If you are a trader or investor in the financial markets, you're probably aware that the investing landscape has undergone a sea change in the last 10-15 years.
At the heart of it, is the use of quantitative techniques in making buying and selling decisions in the markets. Often, we hear from our community that they want to learn more about these new-age tools and harness them to improve returns on their investments.
- Current trading and investing landscape: How things have shaped up for traders in the last two decades
- Issues faced by manual/discretionary traders
- Limitations in the traditional analysis methods (Technical Analysis and Fundamental Analysis)
- Add a quantitative analysis dimension to your existing trading style
- Q and A
-----------------------------------------
Who Should Attend?
- Discretionary/manual traders (ex. professional traders, part-time traders) who are looking to upskill and get better returns
- Technology professionals, who want to leverage their technical skills to invest wisely in the financial markets
- Students and other enthusiasts who wish to make a career in quantitative finance
-----------------------------------------
For the Webinar video, you can also visit: https://blog.quantinsti.com/why-algo-trading-webinar-12-december-2019/
-----------------------------------------
Learn more about our EPAT® course here: https://www.quantinsti.com/epat/
OR Visit us at: https://www.quantinsti.com/
-----------------------------------------
Like and Follow us on:
Facebook: https://www.facebook.com/quantinsti/
LinkedIn: https://www.linkedin.com/company/quantinsti
Twitter: https://twitter.com/QuantInsti
Instagram: https://www.instagram.com/quantinstian/
YouTube: https://www.youtube.com/user/quantinsti
-----------------------------------------
Connect with us:
Email: contact@quantinsti.com
Phone: +91-22-61691400
Toll Free: 1800-266-5401
-----------------------------------------
Learn about the different types of algorithmic trading and how it actually works. Algorithmic trading is a growing trend. I Know First has an advanced self-learning algorithm that has helped many investors achieve magnificent returns. I Know First's live portfolio returned 60.66% in 2013, beating the S&P 500 by over 30%!
A Flash Crash Simulator: Analyzing HFT's Impact on Market QualityYoshi S.
A 2014 CFTC report has concluded that the 2010 Flash Crash was not caused by high-frequency traders but was exacerbated by them with their market-making strategy known as the electronic liquidity provision (ELP). This paper presents a computational analysis of the impact of ELP-HFTs on core market quality during a flash crash. Specifically examined is how ELP-HFTs affect the attributes of core market quality such as liquidity, bid-ask spreads, and short-term price volatility. To investigate the question, we build a zero-intelligence limit order book (LOB) simulator from scratch, implement the ELP strategy in it, and execute simulations in which a flash crash is artificially created. Our results show that ELP-HFTs reduce bid-ask spreads, mitigate short-term volatility, and increase total trade volume. The increase in total trade volume is attributed to what is known as the “hot-potato” effect, which was also observed during the 2010 Flash Crash. However, we conclude that the ELP strategy by itself does not amplify directional price moves despite hot-potato effects.
Futures Trading Strategies on SGX - India chapter in AFACT in SingaporeQuantInsti
QuantInsti was invited to Participate in SGX India Suite in AFACT (Association of Financial and Commodity Traders, Singapore).
Mr. Nitesh Khandelwal, Founder of QuantInsti, spoke at SGX-India chapter in AFACT in Singapore on the 23rd of May. He gave a detailed presentation covering various Quantitative Trading Strategies. The session was based on the real life quantitative trading strategies with actual market data. Various models were also shown and explained to the audience.The presentation was very well received by the participants, which included many members of Association of Financial and Commodity Traders, Singapore.
Tap into the macro-economic coverage on India and gain trading insights centered around SGX’s India suite of derivative products namely SGX CNX Nifty Index Futures, SGX MSCI India Index Futures, SGX INR/USD FX Futures. With speakers covering macro-economic developments and delving into the finer details of trading strategies, this was an event not to be missed.
You can find a detailed version of this presentation on our blog - http://www.quantinsti.com/blog/afact-time-for-sgx-sgx-india-suite/
Connect with us:
Facebook - http://facebook.com/quantinsti
Twitter - http://twitter.com/quantinsti
Youtube - http://youtube.com/quantinsti
How to design quant trading strategies using “R”?QuantInsti
This presentation answers fundamental questions like - What is R? How can we use R packages in writing quantitative trading strategies?
It also details the steps in the development of a quantitative trading strategy.
Going further it teaches how to optimize & refine your strategy.
The attached video gives an elaborate demonstration of a quant trading strategy in action.
The presentation is a part of a webinar which was conducted by Mr. Anil Yadav, who is a co-founder of iRageCapital and QuantInsti, manages an Algorithmic strategy advisory team at iRageCapital and is responsible for building and benchmarking strategies for the clients across various asset classes. Prior to iRage, he has worked as Convertible Analyst at Lehman Brothers. He is IIM - Lucknow and IIT - Kanpur Alumnus.
The algorithm has projected increased volatility in the market and this has been reflected in the S&P 500 forecast. However even so, there are still excellent market opportunities to be taken advantage of with I Know First's self-learning algorithm.
Real-time, high-frequency trading (HFT) is placing increasing pressure on regulatory compliance teams to keep up with and monitor the industry's widening pools of structured and unstructured data. Emerging technologies can help capital markets firms use big-data analytics to collect, classify and analyze high volumes of data to formulate strategies for better surveillance, compliance and spot abuse.
Algorithmic trading, also called automated trading, black-box trading, or algo trading, is the use of electronic platforms for entering trading orders with an algorithm which executes pre-programmed trading instructions accounting for a variety of variables such as timing, price, and volume.
Order book dynamics in high frequency tradingQuantInsti
An important task of high-frequency trading is to successfully capture the dynamics in the Data. Empirical Data on Indian Exchanges show that 95% of all NEW orders are placed within 5 ticks of best-bid and best-ask. The Quantinsti® Replacement Matrix shows that most of the orders that are being replaced are among the top 3 levels and these replacements allow us to visualize and generalize about market behaviour. This matrix gives a visual representation of the cost metrics and replacement behaviour.
Execution Algorithms provide a price which is between Limit Order Execution and Market Order Execution. Market Orders guarantee execution within a certain time but the price that it may get the trader remains uncertain. Limit Order guarantees the price but it may remain un-executed if price moves away. Most Execution Algorithms balance between these two order types.
The speaker, Mr. Gaurav Raizada, discusses Quantinsti® Replacement Matrix in the webinar along with basics on order book management theory for high frequency traders.
Changing Notions of Risk Management in Financial MarketsQuantInsti
Presentation on "Changing Notions of Risk Management in Financial Markets - Impact of Proliferation of Automated Trading Systems and Technology on Financial Markets".
This presentation explains about the changing landscape of trading risk management, trends in automated trading, major automated trading risk failures, regulatory framework in India and all the risk management process phrases.
This presentation was presented by senior QI faculty and co-founder Rajib Ranjan Borah at the pre-conference workshop of the "India Risk Management Week", in Mumbai at 22nd May 2014.
This presentation will help you understand about risk management in automated trading and give you a clear picture about how automated trading is changing the way of trading in India.
Slides for speech of EXANTE Managing Partners Vladimir Maslyakov and Anatoliy Knyaze , entitled "Practical aspects of algorithmic trading and high-frequency trading", on TradeTech Russia 2011
Presentation highlights the problems associated with the development of a model (pre-trade analysis), the launch of the strategy (trading) and the post-trade analysis, as well as an overview of the algorithmic trading in general, and a small glimpse into the future.
Webinar on Algorithmic Trading - Why make the move? with Vivek Krishnamoorthy...QuantInsti
For the Webinar video, you can also visit: https://blog.quantinsti.com/why-algo-trading-webinar-12-december-2019/
-----------------------------------------
Session Outline:
If you are a trader or investor in the financial markets, you're probably aware that the investing landscape has undergone a sea change in the last 10-15 years.
At the heart of it, is the use of quantitative techniques in making buying and selling decisions in the markets. Often, we hear from our community that they want to learn more about these new-age tools and harness them to improve returns on their investments.
- Current trading and investing landscape: How things have shaped up for traders in the last two decades
- Issues faced by manual/discretionary traders
- Limitations in the traditional analysis methods (Technical Analysis and Fundamental Analysis)
- Add a quantitative analysis dimension to your existing trading style
- Q and A
-----------------------------------------
Who Should Attend?
- Discretionary/manual traders (ex. professional traders, part-time traders) who are looking to upskill and get better returns
- Technology professionals, who want to leverage their technical skills to invest wisely in the financial markets
- Students and other enthusiasts who wish to make a career in quantitative finance
-----------------------------------------
For the Webinar video, you can also visit: https://blog.quantinsti.com/why-algo-trading-webinar-12-december-2019/
-----------------------------------------
Learn more about our EPAT® course here: https://www.quantinsti.com/epat/
OR Visit us at: https://www.quantinsti.com/
-----------------------------------------
Like and Follow us on:
Facebook: https://www.facebook.com/quantinsti/
LinkedIn: https://www.linkedin.com/company/quantinsti
Twitter: https://twitter.com/QuantInsti
Instagram: https://www.instagram.com/quantinstian/
YouTube: https://www.youtube.com/user/quantinsti
-----------------------------------------
Connect with us:
Email: contact@quantinsti.com
Phone: +91-22-61691400
Toll Free: 1800-266-5401
-----------------------------------------
Learn about the different types of algorithmic trading and how it actually works. Algorithmic trading is a growing trend. I Know First has an advanced self-learning algorithm that has helped many investors achieve magnificent returns. I Know First's live portfolio returned 60.66% in 2013, beating the S&P 500 by over 30%!
A Flash Crash Simulator: Analyzing HFT's Impact on Market QualityYoshi S.
A 2014 CFTC report has concluded that the 2010 Flash Crash was not caused by high-frequency traders but was exacerbated by them with their market-making strategy known as the electronic liquidity provision (ELP). This paper presents a computational analysis of the impact of ELP-HFTs on core market quality during a flash crash. Specifically examined is how ELP-HFTs affect the attributes of core market quality such as liquidity, bid-ask spreads, and short-term price volatility. To investigate the question, we build a zero-intelligence limit order book (LOB) simulator from scratch, implement the ELP strategy in it, and execute simulations in which a flash crash is artificially created. Our results show that ELP-HFTs reduce bid-ask spreads, mitigate short-term volatility, and increase total trade volume. The increase in total trade volume is attributed to what is known as the “hot-potato” effect, which was also observed during the 2010 Flash Crash. However, we conclude that the ELP strategy by itself does not amplify directional price moves despite hot-potato effects.
Futures Trading Strategies on SGX - India chapter in AFACT in SingaporeQuantInsti
QuantInsti was invited to Participate in SGX India Suite in AFACT (Association of Financial and Commodity Traders, Singapore).
Mr. Nitesh Khandelwal, Founder of QuantInsti, spoke at SGX-India chapter in AFACT in Singapore on the 23rd of May. He gave a detailed presentation covering various Quantitative Trading Strategies. The session was based on the real life quantitative trading strategies with actual market data. Various models were also shown and explained to the audience.The presentation was very well received by the participants, which included many members of Association of Financial and Commodity Traders, Singapore.
Tap into the macro-economic coverage on India and gain trading insights centered around SGX’s India suite of derivative products namely SGX CNX Nifty Index Futures, SGX MSCI India Index Futures, SGX INR/USD FX Futures. With speakers covering macro-economic developments and delving into the finer details of trading strategies, this was an event not to be missed.
You can find a detailed version of this presentation on our blog - http://www.quantinsti.com/blog/afact-time-for-sgx-sgx-india-suite/
Connect with us:
Facebook - http://facebook.com/quantinsti
Twitter - http://twitter.com/quantinsti
Youtube - http://youtube.com/quantinsti
How to design quant trading strategies using “R”?QuantInsti
This presentation answers fundamental questions like - What is R? How can we use R packages in writing quantitative trading strategies?
It also details the steps in the development of a quantitative trading strategy.
Going further it teaches how to optimize & refine your strategy.
The attached video gives an elaborate demonstration of a quant trading strategy in action.
The presentation is a part of a webinar which was conducted by Mr. Anil Yadav, who is a co-founder of iRageCapital and QuantInsti, manages an Algorithmic strategy advisory team at iRageCapital and is responsible for building and benchmarking strategies for the clients across various asset classes. Prior to iRage, he has worked as Convertible Analyst at Lehman Brothers. He is IIM - Lucknow and IIT - Kanpur Alumnus.
The algorithm has projected increased volatility in the market and this has been reflected in the S&P 500 forecast. However even so, there are still excellent market opportunities to be taken advantage of with I Know First's self-learning algorithm.
Real-time, high-frequency trading (HFT) is placing increasing pressure on regulatory compliance teams to keep up with and monitor the industry's widening pools of structured and unstructured data. Emerging technologies can help capital markets firms use big-data analytics to collect, classify and analyze high volumes of data to formulate strategies for better surveillance, compliance and spot abuse.
Not only does electronic trading continue to make our financial markets more competitive, but it has brought numerous benefits to all investors This presentation seeks to provide an overview of the evolution of electronic trading, provide clear definitions of often misused terms, and demystify electronic trading strategies like high frequency trading.
Among the topics discussed in this presentation:
The modernization of our financial markets using electronic trading
Definitions of electronic trading, algorithmic trading and high frequency trading
The Securities and Exchange Commission and high frequency trading
The Commodity Futures Trading Commission and high frequency trading
Regulatory framework in place to safeguard investors who invest in markets where electronic trading is prevalent
Big Data in Stock Exchange( HFT, Forex, Flash Crashes) Dmytro Melnychuk
Little presentation of using Big Data and HFT in Stock Exchange and Forex and potential problems from trades executed by black-box trading. New future for stockbrokers.
Big Data in Stock Exchange( HFT, Forex, Flash Crashes)Dmytro Melnychuk
Little presentation of using Big Data and HFT in Stock Exchange and Forex and potential problems from trades executed by black-box trading. New future for stockbrokers.
In the fast-paced and ever-evolving realm of finance, the emergence of cryptocurrency markets has captivated investors, enthusiasts, and curious individuals alike. Understanding Cryptocurrency Markets is akin to unraveling a multifaceted tapestry woven with technology, economics, and decentralized principles. This introduction serves as a gateway for those venturing into the intriguing world of digital assets, providing insights into the key components that shape cryptocurrency markets.
In the fast-paced and ever-evolving realm of finance, the emergence of cryptocurrency markets has captivated investors, enthusiasts, and curious individuals alike. Understanding Cryptocurrency Markets is akin to unraveling a multifaceted tapestry woven with technology, economics, and decentralized principles. This introduction serves as a gateway for those venturing into the intriguing world of digital assets, providing insights into the key components that shape cryptocurrency markets.
The global capital market has experienced significant change in the past few years and the resulting low volume and cost constrained environment has impacted trading platforms today. Global financial markets demand access to trading platforms that can manage complex multi-asset class transactions as well as a dynamic market structure.
Banks, brokers, and traders are increasingly seeking to end the traditional separation of asset classes into distinct business activities with incompatible trading systems. An integrated multi-asset class trading platform that allows industry players to trade foreign exchange, cash equities, futures, options, and other instruments is a lucrative proposal.
More Details Visit :- http://www.fsokx.com/Editor-Note/Multi-Asset-Class-Trading-A-Wish-or-a-Reality
Learn How to Gain Insights and Perspective from Think to Win co-author Peter ...McGraw-Hill Professional
Peter Klein, co-author of Think to Win, and founder of the growth-management consultancy PK Associates, presents Insights--Perspectives. This PPT discusses how to draw strategic conclusions for Consumer Insights.
McGraw-Hill Professional Business Insider Work Smarter Webinar Series presents Leading with Data: Boost Your ROI with Open and Big Data.
Joel Gurin and Prasanna Tambe discuss 2 hot new topics - open data and big data! You will learn how you can use them to gain the competitive edge in creating and developing a business and building an effective workforce.
For the webinar recording visit: http://bit.ly/mhpworksmarter
McGraw-Hill Professional Business Insider Work Smarter Webinar Series presents Leverage Content Marketing and Social Media to Engage More Customers
Take your marketing and your business to the next level with actual tactics and strategies leveraging content marketing programs from Joe Pulizzi and Jason Miles.
For the webinar recording visit: http://bit.ly/mhpworksmarter
McGraw-Hill Professional Business Insider Work Smarter Webinar Series presents Remarkable Leadership to Inspire Great Work.
Increase your leadership influence and inspire others as you make a difference that others will love with eight lessons from David Sturt and Perry Holley.
For the webinar recording visit: http://bit.ly/mhpworksmarter
Tasti D-lite has put itself on the map through its innovative merging of loyalty programs and social media. The Tasti-D-lite Way, the brand’s Chairman/CEO and VP of Technology reveal key lessons any company can use to build meaningful customer experiences and unprecedented loyalty through fresh approaches to social media marketing.
Using social media to engage customers is only part of the story. Here, readers will learn how to re-engineer businesses to compete and win in the age of social media marketing, and break through from being a brand that’s social friendly to one that forms meaningful, one-to-one relationships with their customers.
A quick look at today’s most pressing business issues through the eyes of Peter Drucker—the father of modern management
As technology, globalization, and business innovation advance at breakneck speed, the question “What would Drucker do now?” becomes more relevant by the day. More than anyone of his time, Peter Drucker understood how the individual, the organization, and society are interrelated. And no one better recognized and articulated the challenges facing all three—or came up with more practical solutions to those challenges.
Since 2007, the Drucker Institute’s executive director, Rick Wartzman, has been asking what Drucker would do on a regular basis— in his popular online column for Bloomberg Businessweek. In each piece, Wartzman introduces a current issue and provides a view of it through the eyes of Peter Drucker, based on his deep knowledge of Drucker’s ideas and ideals.
New markets can power business growth, but to win them you need the right toolkit. Drawing on dozens of industry interviews, in-the-trenches personal experience, and extensive research, this book lays out how companies can find, enter, and win in new markets--and organize themselves to tackle the mission successfully.
1. The Present and Future of
High-Frequency Trading
Edgar Perez, Author, The Speed Traders
2. The Present and Future of High-Frequency
Click to edit Master title style
Trading
High-Frequency Trading is a set of tools that
encompasses a rather diverse number of strategies
that prioritize speed, low-latency, volume, liquid
instruments and short timeframes
High-Frequency Trading has been referred to as the natural
progression of technology applied to the investing and trading
worlds
In the process, High-Frequency Trading has unmasked
structural issues in the U.S. equity markets that are currently
being examined by legislators and regulators
Speed traders will continue finding alpha-generating
opportunities by trading new asset classes in new geographies
employing more sophisticated tools than ever
3. Defining High-Frequency Trading
Click to edit Master title style
Professional traders acting in a proprietary capacity that engage
in strategies that generate a large number of trades on a daily
basis
Organized as proprietary trading firm, as the proprietary trading
desk of a multi-service broker-dealer, or as a hedge fund
Main characteristics:
Usage of extraordinarily high-speed and sophisticated computer
programs for generating, routing, and executing orders
Co-location services and individual data feeds offered by exchanges
and others to minimize network and other types of latencies
Very short time-frames for establishing and liquidating positions
Submission of numerous orders that are cancelled shortly after
submission
Ending the trading day in as close to a flat position as possible (that
is, not carrying significant, un-hedged positions overnight)
Focus on highly liquid instruments (e.g., Citi example)
4. Understanding High-Frequency Trading
Click to edit Master title style
At a recent investment management event, 66% of managers
didn’t have an opinion about High-Frequency Trading
A recent poll by Greenwich Associates found that 20% of
institutional investors don't fully understand the practice of
High-Frequency Trading
Algorithmic trading is broader, encompassing the automation of
alpha-seeking and potentially execution trading decision making
High-Frequency Trading specifically monitors the market for
patterns that indicate alpha-making trading opportunities; then
places orders to take instant advantage of those opportunities
As market data is coming in fast, and conditions are changing by
the millisecond, the firms that leverage High-Frequency Trading
are able to jump on opportunities faster than the competition
Source: Progress Software
5. The Present and Future of High-Frequency
Click to edit Master title style
Trading
High-Frequency Trading is a set of tools that
encompasses a rather diverse number of strategies that
prioritize speed, low-latency, volume, liquid instruments
and short timeframes
High-Frequency Trading has been referred to as
the natural progression of technology applied to
the investing and trading worlds
In the process, High-Frequency Trading has unmasked
structural issues in the U.S. equity markets that are
currently being examined by legislators and regulators
Speed traders will continue finding alpha-generating
opportunities by trading new asset classes in new
geographies employing more sophisticated tools than
ever
6. Technology and Changes to Market Structure
Click to Key Enablers style
edit Master title
Technological innovation:
Faster, cheaper computing power
Advancements in the field of complex event processing
Increase in availability of low-latency bandwidth
Shift to electronic trading
Rise of alternative trading systems
Decimalization
Regulatory changes, e.g., Reg NMS
8. High-Frequency Trading a Natural Evolution
Clickthe edit Master title style
of to Securities Markets
There is a clear evolutionary process in the adoption
of new technologies triggered by competition,
innovation and regulation
Like all other technologies, High-Frequency Trading
enables sophisticated market participants to profit
on their investments – especially in technology –
and compensation for their market, counterparty
and operational risk exposures
9. Trends in Trading Activity, Partly Driven by
Click to edit Master title style
High-Frequency Trading
10. The Present and Future of High-Frequency
Click to edit Master title style
Trading
High-Frequency Trading is a set of tools that encompasses a
rather diverse number of strategies that prioritize speed, low-
latency, volume, liquid instruments and short timeframes
High-Frequency Trading has been referred to as the natural
progression of technology applied to the investing and trading
worlds
In the process, High-Frequency Trading has
unmasked structural issues in the U.S. equity
markets that are currently being examined by
legislators and regulators
Speed traders will continue finding alpha-generating
opportunities by trading new asset classes in new geographies
employing more sophisticated tools than ever
11. The Flash Crash According to David
Click to edit Master title style
Cummings
“Wow! Who puts in a $4.1 billion order without a limit
price?”
“This was a human mistake. The trader could have easily
put a price limit on the order, but recklessly chose not to.
The Sell Algorithm performed exactly as it was designed.
It angers me when people blame technology for what are
clearly lapses in human judgment.”
“Now that the regulators know what happened, what are
they going to do? Is there any penalty for massively
disrupting the market? Are we going to let people throw
around billion-dollar orders with no understanding of
market impact?”
12. What do Warren Buffett and James Simons
Have to Sayedit MasterFlashstyle
Click to About the title Crash?
Buffett: “I didn’t know what was going on for 15, 20 minutes,
but it didn’t make any difference. There’s probably some
mechanical aspect that I don’t understand that needs some
work, but it didn’t raise fundamental questions in my mind
about either the economy or the markets.”
Simons: “The crash of ’87, the market went straight down 22,
23 percent, in a few hours. Nobody stepped in to stop it. And
everybody was selling, and it ended up flat on its back where it
stayed for, you know, weeks and months, and– gradually
crawled back. Flash crash lasted seven minutes, maybe. There
was enough action, enough people came back, and the whole
thing was reversed. In my opinion, the system worked
beautifully compared to the way it worked in October of 1987,
23 years earlier”
13. What is the Securities and Exchange
ClickCommission to title style
to edit Master Do?
Circuit breakers: adopted in May 2010 for 404 NYSE listed S&P 500
stocks and widened in September for Russell 1000 stocks to halt or
slow down trades of a particular stock if the price moves 10% or more
in a five-minute period
Limit up, limit down: it would require that trades in all listed stocks be
executed within a range tied to the recent prices for that security. It
would impose a five-minute pause if trading is unable to occur within
the price band for more than 15 seconds
Consolidated audit trail: trade tagging and data collection system that
would help the SEC track information about trading orders so it can
better understand the fast-paced markets
Same responsibilities as traditional market makers: as specialists at
NYSE or Nasdaq, to have both a bid and an offer when they want to
publish a quote
14. The Present and Future of High-Frequency
Click to edit Master title style
Trading
High-Frequency Trading is a set of tools that
encompasses a rather diverse number of strategies that
prioritize speed, low-latency, volume, liquid instruments
and short timeframes
High-Frequency Trading has been referred to as the
natural progression of technology applied to the
investing and trading worlds
In the process, High-Frequency Trading has unmasked
structural issues in the U.S. equity markets that are
currently being examined by legislators and regulators
Speed traders will continue finding alpha-
generating opportunities by trading new asset
classes in new geographies employing more
sophisticated tools than ever
15. Click New Asset Classes style
to edit Master title
In U.S. equity markets, High-Frequency Trading has
decreased to 53% of stock-market trading volume, from
61% in 2009
In U.S. futures markets, High-Frequency Trading
accounts for 28% of the total volume, an increase from
22% in 2009
Of all foreign-exchange flows, High-Frequency Trading
accounted for roughly 30%, as of 2010, compared with
13% in 2004
Cross-asset trading:
Real-time position monitoring and efficient collateral management
Will enable participants to hide their strategy from competitors
Source; TABB Group, Aite Group
16. New Geographies
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The U.S. and European capital markets have been through a
number of developments from the implementation of sophisticated
trading technology to the evolution of their regulatory frameworks,
which have fostered the emergence of High-Frequency Trading
strategies
High-Frequency Trading activity has so far been focused on the
equity markets, and here it has ensured consistency in a fragmented
European market
Speed traders now account for around 15% of Asia-Pacific equity
trading volumes
Japan is the leading venue for High-Frequency Trading, accounting
for nearly half of all activity in Asia-Pacific, with 45% penetration.
Singapore and Hong Kong following closely
High-Frequency Trading now accounts for 6% of Brazil’s
BM&Fbovespa’s total volume and 25% of orders in India’s Bombay
Stock Exchange
Source: Advanced Trading, Financial Times, Bombay Stock Excange
17. More Sophisticated Tools Than Ever
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GPUs (Graphical Processing Units): Recent
developments in high performance computing provide
strong evidence that graphic cards can be successfully
used as high-performance many-core processors. Usually
provide advantageous scalability in terms of calculations
that can be done in parallel, plus savings in terms of
electric power consumption, computing power and heat
emission.
FPGA (Field Programmable Gate Arrays): Acceleration
using hardware. Really good at doing bit-level
manipulation, which makes them particularly well suited
for certain types of signal processing.