Course Program Day 1

0830 - 0900 Registration and continental breakfast

0900 - 1030 HISTORY AND RECENT DEVELOPMENTS

• Evolution of high-frequency trading
• Scope of high-frequency trading today
• Current and future changes in the marketplace
• Regulatory and infrastructure aspects

1030 - 1100 Morning break

1100 - 1230 HIGH-FREQUENCY TRADING PLATFORM DEVELOPMENT

• Core system requirements and competencies
• Off-the-shelf vs. in-house-built choices
• Public vs. private APIs and protocols
• Life cycle management from prototype to profitable system
• Navigating the tradeoff between time to market and flexibility/performance
• Management and security issues

1230 - 1330 Lunch

1330 - 1500 HIGH-FREQUENCY STRATEGY CLASSIFICATIONS

• Regulatory driven
• Operational efficiency and demand driven
• Quantitative information processing advantage driven
• Qualitative information processing advantage driven
• Relative value and arbitrage strategies

1500 - 1530 Afternoon break

1530 - 1700 HIGH-FREQUENCY ALGORITHM CLASSIFICATIONS

• Low frequency vs. high frequency vs. ultra high frequency
• Speed critical vs. intelligence critical
• Static vs. dynamic strategies
• Repetitive vs. adaptive/evolutionary
• Informative vs. active