AGENDA DAY 2

Day 2

09:00

Chairman’s Opening Remarks

Mr Brian Peterson
09:10

High-performance computing and algorithmic trading – how will new breakthroughs in advanced computer science change the game? (topic to be updated)

Panel discussion
09:30

Trading the Trump factor – a new source of portfolio alpha?

  • Trump, Twitter & market health – measuring the relationship between Trump's Twitter sentiment, the overall market mood, and the short and longer-range price and volatility impact on companies, currencies and nations
  • Presidential tweet risk – what unintended consequences might emerge as a result of Trump’s penchant for Twitter? 
  • Trump tracking algorithms – will it be a viable strategy to develop algorithms designed to take advantage of short-term price discrepancies caused by a presidential tweet? 
  • Trump, regulations & economic growth – how would Trump’s proposed rollback of regulations impact U.S. economic growth?
  • Foreign policy – how will Trump’s proposed isolationist policies impact U.S. markets and the global economy? 
10:10

Afternoon Networking Break

Marat Molyboga
10:40

The revealed preference of sophisticated investors

  • Learning from investors’ flows about factors that drive investment decisions.
  • “Smart” money or performance chasing?  
  • Is there a persistent skill?  
Euan Sinclair
11:00

Global macro indicators for predicting broad market volatility

  • Two rules for forecasting volatility – tomorrow’s volatility is the same as today’s and long-term volatility will be what it has always been
  • Fed-induced schizophrenia – the impact of central bank policy on market fits and tantrums
  • Geopolitical events – how will the incoming Trump administration impact the market’s fear gauge? 
Panel discussion
11:20

The art of backtesting – techniques & war stories from practitioners

  • Filtering published research – appropriate benchmarks, survivorship bias, transaction costs, robustness over time, regime changes, scalability
  • Dealing with data – gathering and trusting data, identifying bad records, techniques for dealing with missing data, alignment and synchronization, data adjustment (dividends, splits, future rolls, etc.)
  • Making sensible assumptions – borrow costs, order types and transaction costs (timeliness and slippage, commissions, scalability)
  • Correctness – model complexity, reducing parameters, cross validation
  • Model robustness & stability – over time, sensitivity to parameters, regime changes, overcrowding
  • Performance measurement – appropriate use of various metrics, importance of drawdown data
  • Going live – walk forward testing, learning from live results, improving execution
12:00

Networking Lunch

John Netto
13:30

"Automating the macro narrative" – how all types of traders and investors can approach automating operations, analytics, and execution

  • Analytics – case study about how John automated his market analytics through both off-the-shelf products and custom built applications
  • Operations – how John reconciles brokerage statements, expenses, and P&L attribution across multiple strategies and multiple accounts  
  • Execution – the process to automate some or all of your execution through off-the-shelf software applications or building your own proprietary execution software 
  • Seven Steps to build a proprietary software application
Daniel Gramza
13:50

Five serious option trading mistakes and their solutions

  • How to create and manage specific directional option trading strategies for both short term and long term timeframes 
  • Establishing specific trading guidelines, profit and risk management objectives to enable consistent reactions to the market 
  • A proprietary approach to Behavioral Japanese Candle trading techniques
Mike Persico
14:10

The value of microsecond – an analysis of the information flows within the New Jersey equity triangle (BATS, NASDAQ, NYSE) (topic to be updated)

14:40

INTERACTIVE ROUNDTABLES (CLICK TO EXPAND)

These small group discussions don’t require any presentation or preparation, and are simply designed to serve as platforms for networking, collaboration and information exchange between like-minded professionals.

Since roundtable sessions run concurrently, you can choose 1 session that is most interesting.

Click on above text to expand list of roundtable topics and the respective discussion leaders.
  • Anomaly detection – machine learning-based approaches for detecting outliers in financial datasets
  • Compute vs. storage – is there a tradeoff in your infrastructure stack?
  • Market surveillance – real-time solutions for monitoring and detecting abuse across brokers and asset classes
  • Trend following for managed futures – best practices for capturing alpha
  • U.S. treasury market – how can new trading platforms restore liquidity and fairness to market participants?
  • 15:20

    Afternoon Networking Break

    Nancy Stern
    15:50

    Regulation AT – how would the CFTC’s landmark proposal affect proprietary traders, market fairness and systemic risk?

    • How would the CFTC and other government agencies use proprietary source code obtained from automated traders to reduce the likelihood of “flash crashes” and other harmful market disruptions?
    • Do the potential benefits justify significantly lowering the bar for government access to intellectual property? 
    • How will regulators protect source code from hackers and cyber-breaches? 
    • How would market participants, particularly smaller ones, handle the higher compliance costs created by Reg AT’s increased risk controls, reporting demands and recordkeeping requirements?
    • How should exchanges and trading venues be involved in the oversight process?
    Ben Morof, Chief Compliance Officer, Teza Technologies
    Serhan Kovuk
    16:10

    The evolution of electronic futures and options market

    • Past and expected changes in micro-market structures, operational costs, exchange fees and commissions 
    • What are the effects of regulations and preventative measures in the markets?
    • What can we expect from the future as an algorithmic/HFT trader/programmer or company? 
    16:30

    Closing Remarks & End of Conference

    last published: 13/Mar/17 20:05 GMT