Programme

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Day One - 18 March 2013

Day Two - 19 March 2013

DAY ONE: OPTIMAL EXECUTION - CURRENT STATE OF THE ART

09.00

INTRODUCTION 

09.30

ALGORITHMIC TRADING VS. HIGH - FREQUENCY TRADING

10.00

THE BUSINESS OF ALGORITHMIC EXECUTION

  • History of trading 
  • What is optimal execution? 
  • Realities of modern trading
  • How does one make money in algorithmic execution today? 
    • Software and data vendors
    • Hardware firms
    • Telecommunications
    • Buy - side investors
    • Exchanges
    • Broker - dealers
    • Prop - desks
    • Brokerage and direct market access
    • Proprietary trading firms
    • Other providers
  • Business trends in algorithmic execution - who will make money in algo execution in the near future?

12.00

Lunch

13.00

MODERN TECHNOLOGIES ENABLING ALGORITHMIC EXECUTION 

  • Networking hardware 
  • Servers: need for speed and reliability
  • Exchange protocols
  • Market data hosting and processing
  • Colocation and proximity
  • Processing chips: FPGA and GPU technology
  • Programming languages and other required staff qualifications
  • Buy vs. build: why do some firms create their own technology?

15.00

OBJECTIVES AND BENCHMARKS IN OPTIMAL EXECUTION

  • Objectives of optimal execution algorithms
  • Functional breakdown of optimal execution
  • Common execution benchmarks and their inherent issues
  • Common static algos (TWAP, VWAP...) and their implementation
  • How transparent is TWAP, VWAP and POV execution? (Hint: very)

17.00

End of day 1

Programme of the day includes morning and afternoon coffee breaks, which will be taken at the tutor's and delegates' convenience.