VIEWS: 11 PAGES: 1 POSTED ON: 7/22/2011
Outline of Lectures Automatic High Frequency Trading and Strategies Mark Bulkin, PhD, Head of Research Bleecker Street Capital, LLC 14 Wall Street, 20th Floor, New York, NY 10005 firstname.lastname@example.org +1-646-591-3833 Investments management firm Bleecker Street Capital, LLC (Bleecker) is offering a course focused on the investment strategies, whose importance grew after the financial crisis of 2008. Examples of such strategies include high frequency and global macro strategies, offered by Bleecker. We believe that this course is well suited for professional strategists, traders, portfolio managers and investors as well as for persons who are only starting their careers in capital markets. A separate session will be available for brokerage customers (or companies) upon request. 1. Advancement of philosophy and technology of high frequency strategies. (2 hour) a. History, recent results, main characteristics, technology requirement, limitations b. Market Data for high frequency trading (Level I, Level II) and Historical Data Base creation. c. Data synchronization including cleaning, filtering, consolidating data from different sources, verification and testing, analysis of time delays. d. Real system demo and Discussion (1 hour) 2. Modeling and strategies; (2 hour) a. Elements of the Model: Stock, Order. Market Players,(Exchanges, ECNs, Dark Pools). b. Different states of the objects in the Model c. Smart Order routing-system for unconditional and fast fulfillments of orders. Live trading simulation. d. Automated and Mixed trading strategies, price movement indicators, strong/ weak states, algorithms and modules for working in different trading modes. e. Back testing strategies. Enhancements of Execution Simulator and Order Management System. Visualization tools for analysis of trading strategies. .f. Real system demo and Discussion (1 hour) 3. High frequency trading Software architecture and subsystems. Market Making and Algorithmic trading Systems. Discussion (2 hour) 4. Benefits of Managed Account versus a hedge fund investment. Investors control of the account, real time information and investor-friendly liquidity terms. Special session for brokerage customer (or companies) upon request. Bleecker Street Capital, LLC Bleecker is a New York based asset management firm, specializing in quantitative global macro investments. Bleecker is a member of National Futures Association - a US government agency and is registered as a Commodity Trading Advisor. Bleecker’s investment strategy aims to grow its clients’ assets, while significantly limiting downside risk. Bleecker’s investment portfolio typically consists of long and short positions in equity futures, bond futures and currencies, trading on major North American, European and Asian exchanges. Lecturer Mark Bulkin, head of research, PhD in Engineering from Kiev Technical University, (1982), MS in Probability and Statistics from MGU (Russia 1970), has 15 years of successful experience in designing and managing quantitative trading systems for several Wall Street firms. In his previous role Mr. Bulkin a Managing Director at LaBranche, LLC. He lead development of a completely automatic high frequency trading system for more then 2000 stocks portfolio.
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