If there is a lesson from yesterday’s unprecedented market plunge, that is the need to implement risk management and quality controls in the operation of high-frequency trading systems. While some of the biggest firms in New York and Chicago might have made up to $200 million by the end of the day, others firms were forced to stop trading as they allegedly sought not to contribute to the volatility.
Golden Networking just announced the agenda for its upcoming High-Frequency Trading Leaders Forum 2010, “Innovating and Profiting from High-Frequency Trading in 2010 and Beyond”, on May 27th. With an impressive lineup of leaders and innovators as speakers; the keynotes seem very timely and relevant, both for investment professionals trying to enter the high-frequency trading space and experienced traders trying to gain an edge in the markets.
- “The Ins and Outs of Effective Backtesting and Controlling High-Speed Trading Algorithms”
Keynote Speaker: Dr. Andrew Kumiega, Director, Infinium Capital Management, Lecturer, Illinois Institute of Technology and Author, “Quality Money Management”
Backtesting is paramount to the successful deployment of even extremely well thought-out high-frequency trading strategies. It is accomplished by building a customized database of historical data and purchasing or building a software tool that allows for proper testing of a given strategy. Required data may either not exist at all or be prohibitively expensive based upon the prospective returns of the trading strategy. Dr. Kumiega will demonstrate the use of important measurements of reliability, including Statistical Process Control theory, inputs to be controlled, outputs to be measured and controlled, and comparisons to classical methods (such as Sharpe ratio), which are fundamental for high-frequency traders to refine their strategies before running live. Finally, Dr. Kumiega will review highly relevant real time monitoring and continuous process improvement techniques for high-frequency trading systems.
- “Profitably Running a High-Frequency Trading Operation in 2010 and Beyond”
Traders are leaving high-frequency trading shops to start their new firms; they quickly plan to scale up to 100 million shares a day. Few months later, they are struggling to stay in business. How to profitably run a high-frequency trading firm? Which considerations are important in the setup stage? How to protect intellectual property when an employee leaves? How to set up initial relationships with key exchanges? How to leverage your prime broker for capital introduction services?
- “Technology Infrastructure to Enable Ultra High-Frequency Trading”
High-frequency trading is a sophisticated automation of functions traditionally performed by traders. Implementing ultra high-frequency trading strategies requires careful planning and scrupulous implementation. Would you be able to buy all the necessary infrastructure rather than build it? In which cases would you need customized work? How could you enhance speeds through hardware acceleration? How expensive are co-location services? How to improve processing capacity of the servers running the trading programs?
- “Developing Profitable High-Frequency Trading and Investment Systems”
Keynote Speaker: Professor Ben Van Vliet, Vice-Chairman, Institute for Market Technology, Lecturer, Illinois Institute of Technology, Author, “Quality Money Management”, “Modeling Financial Markets” and “Building Automated Trading Systems”
The process of building a high-performance trading system includes not only the development, research, testing, implementation, and management of the investment systems, but also the delineation of responsibilities, all deliberately aimed at achieving performance levels consistent with or above the specifications of seed capital providers and investors. Professor Ban Vliet will walk through a proven methodology that incorporates continuous improvement to the systems of trade selection, execution, risk management, and all other trading/investment system processes, through the performance of statistical process control on risk attributes. Topics that will be covered include algorithmic trading for exploitation of market micro structure, trade-offs between third-party and custom built trading systems and required backtesting for high-frequency trading algorithms.
- “The Future and Challenges of High-Frequency Trading”
Despite drawing the unwanted attention of regulators and members of Congress, high-frequency trading has quickly leapt into the spotlight and gained immense popularity, thanks to record profits. Which are going to be the most important high-frequency trading strategies moving forward? Which types of firms are most likely to include high frequency trading into their trading strategy? What are the long-term implications on the market? What to expect and what to request of the regulators?
High-Frequency Trading Leaders Forum 2010 organizers expect more than one hundred attendees, including active high-frequency traders, investors, managers, technology officers and risk management officers. They are also promising a networking reception to follow the conference, so attendees are expected to bring a big stack of business cards; it will be indeed a great opportunity to network with the speakers and fellow participants.