Electronic Trading and Algorithmic Execution
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Although it is only a two-day course, it was very insightful and thorough.
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The structure of the course was well organised and had many practical applications included. At the same time that we studied, we entertained ourselves. Course leader is very knowledgeable in the subject matter. Would highly recommend London Financial Studies.
← | →
Short course
In New York (USA), London and Singapore (Singapore)
Gain a clear understanding of Electronic Trading and Algorithmic Execution!
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Type
Short course
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Location
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Duration
2 Days
An analysis of the current state of electronic trading in both Equities and Fixed Income markets with a close look at the electronic Foreign Exchange markets.
The first day of the programme looks at the nature of electronic markets and examines different types of orders and algorithmic execution. Day two focuses on electronic market making and the market microstructure, examining both the market risks and regulatory challenges.
Practical workshops allow delegates to explore the implementation of a market making engine.
This course is also available remotely via LFS Live.
Facilities
Location
Start date
Start date
Start date
Start date
About this course
Gain familiarity with the landscape of electronic markets
Distinguish between different types of exchanges and order types
Learn how to calculate the costs associated with different types of orders in terms of spread and execution certainty
Analyse the various methods of algorithmic execution
Learn how to design a market making engine
Acquire knowledge of the market microstructure and of how to benefit from this
Gain understanding of current regulations with regards to electronic trading
Quants / Financial engineers
Electronic traders and Book-runners
Algorithmic traders
Execution desks
Sales people
Structurers
Risk managers
Researchers
A basic understanding of capital markets and securities trading.
Reviews
-
Although it is only a two-day course, it was very insightful and thorough.
← | →
-
The structure of the course was well organised and had many practical applications included. At the same time that we studied, we entertained ourselves. Course leader is very knowledgeable in the subject matter. Would highly recommend London Financial Studies.
← | →
Course rating
Recommended
Centre rating
Market Risk Manager
Director - Quantitative
This centre's achievements
All courses are up to date
The average rating is higher than 3.7
More than 50 reviews in the last 12 months
This centre has featured on Emagister for 16 years
Subjects
- Market
- Trading
- Fixed Income
- Electronic Markets
- Algorithmic
- Electronic Trading
- Microstructure
- Electronic risk
- VWAP
- TWAP
- Volume prediction
- Equities Derivatives
- Algorithmic Execution
- Algorithmic Trading
Teachers and trainers (1)
Jamie Walton
Teacher
Dr Jamie Walton has over 18 years of experience as a quant in financial markets. For the last 10 years, he was the head FX quant at Morgan Stanley, where he built the team of FX electronic trading quants. In recent years, Dr Walton has presented at conferences and written articles on electronic trading, as well as providing independent consultancy in quantitative finance. Dr Walton is also an Honorary Research Fellow at UCL, where he lectures in Financial Mathematics as part of the Masters Financial Mathematics Programme.
Course programme
Electronic Markets
- Overview of e trading in Equities and Fixed Income
- Exchanges, ECNs and Dark Pools
- Principal and agency trading
- The Limit Order Book
- A comparison of different order types
- Market Orders and Limit Orders
- Immediate or Cancel, Fill or Kill, Iceberg Orders
Algorithmic Execution
- A look at various methods of algorithmic execution: VWAP, TWAP, Arrival price
- Volume prediction
- Slippage and Information leakage
- Market impact: temporary or permanent
- Transaction Cost Analysis
- Almgren Chriss model for optimal execution
Day Two
Electronic Market Making
- Components of a market making engine
- Price streaming and liquidity
- Pricing and hedging
- Measuring electronic risk exposure
- Grossman Miller model for market making
- A look at market microstructure
- Generating Trading Signals
- Order book imbalance
- Lead lag, momentum, correlation
High Frequency Trading
- Definitions and examples of HFTs
- How to build a low latency network
- Flash crashes
- The Swiss Franc collapse
- Knight Capital
- Fair and Effective Markets Review
- Spoofing, layering
- FX last look
Electronic Trading and Algorithmic Execution