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Seminar: Introduction to Algorithmic Trading Strategies, Dr. Haksun Li

Quantitative Trading Strategy Development

  • Adapted from Prof. Haksun Li’s course taught at the National University of Singapore, Nanyang Technological University, Singapore Exchange-NTU seminars, Fa Dan University, Hong Kong University of Science and Technology
  • 7 seminar sessions (3 hrs each session)
  • Demystify the inner working of algorithmic trading strategies
  • Make easy the hard core mathematics in quantitative finance
  • Learn the basics of mean reversion, trend following and risk management

Introduction

The objective of this seminar is to introduce participants to the core concepts and quantitative techniques used in the process of generating and analyzing a trading strategy. Some important concepts used in risk management and portfolio optimization will also be introduced.

Quantitative trading often involves the use of mathematical models to describe and predict market movements. These models are then implemented on computer systems for automatic execution. The job of an algorithmic trader is to first develop a market intuition or idea of how prices should behave. Using mathematics, the trader then turns the idea into a quantitative model for analysis, back testing and refinement. When this quantitative model proves likely to be profitable after rigorous statistical testing, the trader implements the strategy on computer systems for execution. Some of the popular literature in quantitative trading will be surveyed.

Outcome

At the end of the seminar, participants are expected to develop:

  • an overall picture of the trading model generation process
  • an understanding of the core concepts in quantitative trading
  • an appreciation of using mathematics and statistics to analyze the profitability and risk of a trading strategy
  • Traders wishing to learn how they can apply their mathematical and statistical strengths in the trading arena
  • Algorithmic traders seeking a deeper appreciation of the role of quantitative analysis
  • Regulators, risk managers and auditors who need a good understanding of the nature of quantitative analysis
  • Anyone who aspires to become a quantitative trader or is curious about the work of quant traders

Preferred Background

This seminar is adapted from a graduate course taught at top universities. Although effort has been made to “simplify” the materials, a minimum level of mathematical and statistical knowledge is expected of participants:

  • A bachelor’s degree in mathematics, statistics, physics or other quantitative fields is highly recommended
  • A master’s degree in financial mathematics, financial engineering or statistics would be ideal
  • Some programming experience is preferred but not essential
  • Some trading experience is preferred but not essential

Contents

After an initial session on the process of algorithmic trading, the seminar delves into the development of a few common quantitative trading strategies – a mean reversion strategy, a pairs trading strategy, and a trend following strategy. In addition, the seminar concludes with a review of key risk management and portfolio optimization concepts.

Session 1:

Overview of Algorithmic Trading – “My Personal Experience”

  • The algorithmic trading process
  • The IT requirements
  • From market intuition … to model development

Session 2:

Regime Switching

  • Hidden Markov chain
  • Maximum likelihood

Session 3:

Pairs Trading by Cointegration

  • Construct a mean reverting basket
  • Stationarity
  • Cointegration

Session 4:

Pairs Trading by Stochastic Control

  • The optimal trading strategy
  • Solving an HJB equation

Session 5:

Pairs Trading by Stochastic Spread

  • Stochastic spread modeling
  • Kalman filter

Session 6:

Trend Following

  • Moving crossover strategies
  • The linear technical indicators

Session 7:

Risk Management & Portfolio Optimization

  • Different types of risks
  • Extreme value theory
  • The Omega measure
  • Global optimization methods

Trainer

Prof. Li Haksun CEO, Numerical Method Inc.

Dr. Haksun Li is the CEO of Numerical Method Inc., an quantitative trading research and analytic consulting company, which serves brokerage houses and funds all over the world, multinational corporations, very high net worth individuals and gambling groups. Prior to this, Haksun was a quantitative trader/quantitative analyst with multiple investment banks. He has worked in New York, London, Tokyo, Singapore and Hong Kong. Haksun has a B.S. and M.S. in Pure and Financial Mathematics from the University of Chicago, an M.S. and a Ph.D. in Computer Science & Engineering from the University of Michigan, Ann Arbor. Dr. Haksun Li is/was an adjunct professor/advisor with multiple universities. He has taught at the National University of Singapore (Mathematics), Nanyang Technological University (Business School), Fu Dan University (Economics), as well as Hong Kong University of Science and Technology (Mathematics).

Venue

Hong Kong Science Park Shatin, N.T. Hong Kong

Fees and Enquiries

Seminar Session – Program Fees

HKD 30,000.00

* Fees include dinners, tea breaks, seminar materials and the use of an individual hands-on trading terminal.

Schedule

  • TBD

For Enquiries: Please email sales@numericalmethod.com or register here.