Algorithmic Trading A Buy Side Perspective


Objective:

To give an understanding of Algorithmic Trading from the Buy side.  A reasonable quant and financial matters knowledge is assumed.

 

Outline:

- Overview of Algorithmic Trading

      What is Algorithmic Trading?

      Algorithmic Trading Definitions

      Buy Side vs Sell Side Views

      Traders vs Portfolio Managers Views
      Identifying Alpha Decay
      Explicit and Implicit Costs
      Market Impact and Implementation Shortfall

 

- Recent Developments

      Optimal Execution Methods
      Building Impact Models with Public Data
      Market Impact Costs
      Portfolio Optimization with the Market Impact Costs
      Transaction Costs and Constraints
      Multi-Period Portfolio Optimization with Transaction Costs
      Practical Considerations
      Optimal Theta
      An Example: A Simulation Experiment and Quadratic Approximation

     

- Final Thoughts and Conclusion




Todays Date:


Duration  day
London
Fee  300 + VAT







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