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Irene Aldridge to Teach New Course on High Frequency Trading

High Frequency Trading is becoming a mainstay in today’s financial markets. Learning how to navigate one’s way through constantly changing markets has become essential for not only traders, but all market participants.

May 24, 2012 - PRLog -- High Frequency Trading is becoming a mainstay in today’s financial markets. Learning how to navigate one’s way through constantly changing markets has become essential for not only traders, but all market participants.
Two new courses offered by Irene Aldridge, a recognized expert on High Frequency Trading, will be offered in New York and Chicago in September 2012.
For more information of how to register or about the course itself, please contact grikhye@ablealpha.com
Please see below for a detailed course curriculum:

About Irene Aldridge:
Ms. Aldridge is a Managing Partner at ABLE Alpha Trading, LTD.  In this capacity, Ms. Aldridge develops, deploys and distributes research on the latest thought in algorithmic trading.  Ms. Aldridge has nearly twenty years of  experience at the edge of technological innovation in the financial services industry, and is frequently invited to speak at various industry events.  Ms. Aldridge’s latest book, the second edition of “High-Frequency Trading: A Practical Guide to Algorithmic Strategies and Trading Systems” (Wiley) is coming out later this year.

Chicago: Best Execution in the Presence of HFT, September 6th and 7th, 2012
New York: High-Frequency Trading Strategies: algos and implementation, September 20th and 21st, 2012

Day 1 - Thursday 6th September 2012
Core Order Routing Methodologies
Module One: Algorithmic  vs High Frequency Trading
•         Algo order routing: objectives.
•         Foundations of:
o    FIX
o    FIXatdl
o    ITCH
o    OUCH
Project 1: Sample FIX-based multi-exchange order routing
Module Two: Algo Execution: cost and performance metrics
•         Passive vs. aggressive execution
•         Associated execution risk
•         Implementation shortfall algo
Project 2: Implementation shortfall coding (Relevant data will be distributed)
Module Three: Efficient Trading Frontier
•         Executional price benchmarks
•         Benchmarked implementation:
•         TWAP
•         VWAP
Project 3: VWAP implementation
Day 2 - Friday 7th September 2012
Advanced Methodologies and Latest Research
Module Four: Advanced Order Execution
•         Price-scaling strategies
•         Theory
•         Mathematical foundation
•         Practical implementation
Project 4: Implementation of a risk-return objective-driven strategy
Module Five: Singularities During Different Times of Day
•         Out-of-sample testing
•         Time-of-day market microstructure optimization:
o    Equities
o    Futures
o    Options
o    Foreign exchange
Project 5: Closing time execution optimization.
Module Six: Stealth and Related Algo Implementation Issues
•         How sensitive are execution algorithms to reverse-engineering attempts?
•         How to help clients hide their order flow
Project 6: Reverse-engineering algo implementation.
Module Seven: Synthesis

To be delivered in New York

Day 1 – Thursday 20th September

High-Frequency Trading Models

Working with High-Frequency Data: Opportunities and Challenges
•         Characteristics of high-frequency data; differences from low-frequency data
•         Methodologies for high-frequency data sampling, properties of resulting data sets
•         Estimation biases induced by different high-frequency data sampling techniques

Market-making models in the HFT space
•         Principles of market-making
•         Naïve market-making models and their performance
•         Informational enhancements to market-making models:
o   Order flow
o   Liquidity
o   Other factors

Reading the ticker tape with the machines
•         What information is accessible from HFT ticker-tape reading
•         Do as I do, not as I say: deciphering beliefs of other market participants

High-frequency macro and micro arbitrage

Statistical frameworks for designing new models given the transaction cost structure

Enhancing performance of working models
•         HFT portfolio management in the presence of biases induced by high-frequency data
•         Optimal portfolio allocation with short-term trading horizons
•         Overcoming estimation biases inherent in high-frequency data

Day 2 – Friday 21st September

Implementation of High-Frequency Trading systems

Cutting edge technology enabling HFT
•         Latest hardware models and performance standards
•         Message transmission, protocols and their speeds
•         Colocation options
•         Buy vs. Build: software providers and their off-the-shelf solutions

HFT System architecture
•         Latest advances in infrastructure development
•         Security of information transmission: known holes in information architecture and solutions
•         Data storage and retrieval: requirements and solutions

HFT implementation: languages, speed and other considerations

Latest developments in FIX

Leading algorithms for optimal order execution
•         Reaching the benchmark price targets
•         Protecting your information: covering the tracks of trading activity
•         No elephants in the room: designing nimble unreconstructible order execution

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