High Frequency Trading

Course objectives

  • Understand High Frequency Trading (HFT) development
  • Master HFT strategies and techniques
  • Understand HFT market and regulatory implications
Course content

The origins and growth of HFT

  • What is High Frequency Trading?
  • Market participants
  • Historical evolution of HFT
  • The development of HFT in Europe
  • HFT in figures today
  • Terminology and key concepts

Refresher course

  • Understanding the financial instruments, cash and Futures markets targeted by HFT:
    • Dark pools, organized exchanges and trading venues
    • Financial markets targeted by HFT by asset class

Overview of the strategies and techniques used in HFT

  • Understanding HFT algorithmic strategies:
    • Alpha strategies,
    • Market-making,
    • News-based and ticker tape trading,
    • Event-driven and statistical arbitrage(s),
    • Directional and structural strategies
    • Multi-asset strategies

HFT strategy design & implementation

  • Designing an algorithmic strategy
  • Measuring the performance and risks of a HFT algorithm
  • Assessing market impact
  • Practicalities of HFT algorithm implementation
  • Basics of an HFT operation

Case Study: detailed analysis of an algorithmic trading strategy

Set up and technological requirement of a HTF platform

  • Architecture of a HFT platform
  • Execution and routing algorithms
  • The importance of information technology in HFT:
    • low latency (ULLDMA),
    • Data feed,
    • ticker plant,
    • messaging middleware,
    • co-location and connectivity
  • Real time-risk management
  • Improving speed and efficiency

Case Study: understanding how a HFT platform operates

Market impact of HFT

  • Overall market structure and order-processing rules
  • The challenges raised by HFT to market safeguards and financial exchanges
  • The role of HFT in lowering trading costs and providing liquidity to the market
  • Market fragmentation
  • HFT, volatility and systematic risks
  • The case for distortion and potential instability: Flash crash of 6th May 2010

Case Study: analysis of the correlation between HFT strategies

  • Risk controls and vulnerabilities of HFT firms: the Infinium case

Regulatory implications of HFT

  • Review of certain HFT practices
  • Positioning HFT in the regulatory environment:
    • From MiFiD to Dodd-Franck
    • MAD,
    • ESMA Guidelines

__Case Study:__From monitoring front-running risk to ensuring fairness to investors: the various regulatory challenges raised by HFT

  • Looking forward: what future for HFT ?

Julien Dauchez

Julien Dauchez

Julien is a quant-trained derivatives specialist with over 16 years experience in capital markets. After graduating with a Masters in quantitative finance from HEC and a M.Eng in Applied Computer Science from Dauphine University in Paris, Julien started his career at Lehman Brothers in London in 1998 where he structured interest rates derivatives and hedge fund-linked products for clients in Europe. After 7 great years at Lehman, Julien joined Barclays Capital’s Equity and Fund Structured Markets (EFS) in New York where he headed the fund-linked derivatives structuring and marketing team for the Americas. Upon his return to London in 2010, Julien joined the asset management arm of Barclays Capital where he originated UCITS and other investment funds for both institutional and retail-oriented clients. Julien left Barclays in June 2013 to set-up his consultancy. Julien has also been a visiting lecturer at HEC school of management in Paris.

Julien Dauchez also teaches :

Prochaines sessions & informations :
Nous contacter