ALGORITHMIC TRADING COURSE
Quantitative Trading Strategy Development

14 Jul - 6 Aug 2011
SGX Training Room & NTU- SGX Trading Lab

Discover “real” trading strategies widely used in banks and hedge funds

Taught by an experienced “quant” trader and analyst

Experience the trading model development process from idea initiation to strategy implementation

Class size is capped
50% funding from Financial Training Scheme grants
(based on MAS qualifying criteria)

  



Enquiries:
Please contact Ms Michelle Chah or Ms Joan See
Tel: 6790 5736 / 6078
Email: nscfe@ntu.edu.sg
Introduction
The objective of this course is to introduce participants to the core concepts and quantitative techniques used in the process of generating and analyzing a trading strategy. Some important concepts used in risk management and portfolio optimization will also be introduced.

Quantitative trading often involves the use of mathematical models to describe and predict market movements. These models are then implemented on computer systems for automatic execution. The job of an algorithmic trader is to first develop a market intuition or idea of how prices should evolve. Using mathematics, the trader then turns the idea into a quantitative model for analysis, back testing and refinement. When this quantitative model proves likely to be profitable after rigorous statistical testing, the trader implements the strategy on computer systems for execution. Some of the popular literature in quantitative trading will be surveyed


 
Outcome
At the end of the course, participants are expected to develop:
  • an overall picture of the trading model generation process
  • an understanding of the core concepts in quantitative trading
  • a deep appreciation of the process of using mathematics and statistics to analyze the profitability and risks of the trading strategy


 
Highly Recommended for
  • Traders wishing to learn how they can apply their mathematical and statistical strengths in the trading arena
  • Algorithmic traders seeking a deeper appreciation of the role of quantitative analysis
  • Regulators, risk managers and auditors who need a good understanding of the nature of quantitative analysis
  • Anyone who aspires to become a quantitative trader or is curious about the work of quant traders


 
Preferred Background
This course is adapted from an elective offered in NTU’s Master of Financial Engineering program. Although effort has been made to “simplify” the material and emphasize the concepts through the use of computer simulations and diagrams, a minimum level of mathematical and statistical knowledge is expected of participants.
  • Some experience in trading is preferred but not essential
  • A bachelor’s degree in mathematics, statistics, physics or other quantitative fields is highly recommended
  • A master’s degree in financial mathematics, financial engineering or statistics would be ideal


 
Contents  
After an initial session on the process of algorithmic trading, the course delves into the development of several common quantitative trading strategies – the Hidden Markov trading strategy, three approaches to the pairs trading strategy, and the trend following strategy. In addition, the course includes three optional hands-on sessions to allow participants to experience how these three groups of strategies are back-tested and refined. The course concludes with a review of key risk management and portfolio optimization concepts used in quantitative trading.
Seminar Session 1
Overview of Algorithmic Trading – “My Personal Experience”
  • The quantitative trading process
  • The IT requirements
  • From market intuition . . . to model development
Seminar Session 2
Trading Strategy based on a Regime Switching Model
  • Hidden Markov chain
  • Maximum likelihood
Practical Session 1 – Hidden Markov Trading Strategy
Seminar Session 3
Pairs Trading by Cointegration
  • How to construct a mean reverting basket
  • Stationarity
  • Cointegration
Seminar Session 4
Pairs Trading by Stochastic Control
  • Optimal trading strategy by stochastic control
  • Solving HJB equation
Seminar Session 5
Pairs Trading by Stochastic Spread
  • Stochastic spread modeling
  • Kalman filter
Practical Session 2 – Pairs Trading Strategy
Seminar Session 6
Trend Following Strategies
  • Technical indicators – moving average
Practical Session 3 – Trend Following Trading Strategy
Seminar Session 7
Risk Management & Portfolio Optimization
  • Different types of risk
  • Extreme value theory
  • The Omega measure
  • Global optimization methods

                                   

Session Date and time
Seminar 1

14 July (Thursday) 6.30pm – 9.30pm

Seminar 2

15 July (Friday) 6.30pm – 9.30pm

Practical 1 (Optional)

16 July (Saturday) 9.30am – 3.30pm

Seminar 3

21 July (Thursday) 6.30pm – 9.30pm

Seminar 4

22 July (Friday) 6.30pm – 9.30pm

Seminar 5

28 July (Thursday) 6.30pm – 9.30pm

Practical 2 (Optional)

30 July (Saturday) 9.30am – 3.30pm

Seminar 6

4 August (Thursday) 6.30pm – 9.30pm

Seminar 7

5 August (Friday) 6.30pm – 9.30pm

Practical 3 (Optional)

6 August (Saturday) 9.30am – 3.30pm
 
Trainer  

Dr Li Haksun
Adjunct Associate Professor, NTU and CEO, Numerical Method Inc

Haksun is an Adjunct Associate Professor at the Nanyang Business School. He is also the founder and CEO of Numerical Method Inc. Before that, he worked with Bloomberg, L.P., NY as Senior Software Developer (2004 -2005), Union Bank of Switzerland, Stamford, CT as Quantitative Analyst (2005 – 2006) and BNP Paribas, New York, Tokyo, London, Singapore as Quantitative Trader (2006 – 2010).

He has a B.Sc. in Mathematics and an M.Sc. in Financial Mathematics from the University of Chicago, an M.S. and a PhD in Computer Science and Engineering from the University of Michigan, Ann Arbor.

   
Venue  
Seminar Sessions : SGX Training Room

Practical Sessions (Optional) : NTU-SGX Trading Lab 		 
Fees and Registration  
Seminar Session - Program Fees  
Non-SGX member
    		 - SGD4,280 (excluding 7% GST) before
  funding support from FTS grants*		  
SGX Member - SGD4,180 (excluding 7% GST) before
  funding support from FTS grants*		  
Seminar Session - Early Bird Discount (Payment made before 1 June 2011)  
Non-SGX member - SGD4,080 (excluding 7% GST) before
  funding support from FTS grants*		  
SGX Member - SGD3,980 (excluding 7% GST) before
  funding support from FTS grants*		  
Practical Session (Optional)

SGD1,500 (excluding 7% GST) before funding support from FTS grants*

  

Fees include lunches, tea breaks, course material and the use of an individual hands-on trading terminal.

* The Monetary Authority of Singapore (MAS) administers Financial Training Scheme (FTS) grants to financial sector organisations that sponsor eligible Singapore based participants to training programmes that meet the qualifying criteria. For more details, please visit www.mas.gov.sg, or contact the MAS at (65) 6229-9396 or fsdf@mas.gov.sg.

To Register:

  • Click here to register
  • Closing date for all registrations is 17 June 2011
  • All payments must be received by 24 June 2011

For Enquiries:  

Please contact Ms Michelle Chah or Ms Joan See at tel: 6790 5736 / 6078 or email nscfe@ntu.edu.sg