Q-Trade Bootcamp 2015: Quantitative, Algorithmic Trading & HFT

8
Five Five Five Five-days days days days Bootcamp Bootcamp Bootcamp Bootcamp in in in in points points points points: α Intensive Intensive Intensive Intensive Program Program Program Program: Boost your experience in HFT, Artificial Intelligence, Statistical Arbitrage, Machine Learning, Trend following, Trading Systems, Portfolio Optimization α Real Real Real Real track track track track-records records records records: Tutors with real track-records and international recognized tracks α Material Material Material Material: Selected theory, models and working codes in Matlab®, R and Python α Network Network Network Network: Connect with Quant & Algo Traders, Fund Managers, Asset Management Companies -Q-Trαde- Bootcamp 2015 Theory Theory Theory Theory Coding Coding Coding Coding & & & & simulation simulation simulation simulation Real Real Real Real trading trading trading trading strategies strategies strategies strategies The The The The Q-Trade Trade Trade Trade bootcamp bootcamp bootcamp bootcamp is is is is practical practical practical practical, interactive interactive interactive interactive, business , business , business , business oriented oriented oriented oriented and with an and with an and with an and with an optimal optimal optimal optimal balance balance balance balance between between between between: Quαntitative, Algorithmic Trαding and HFT May 11 May 11 May 11 May 11-15, 2015 15, 2015 15, 2015 15, 2015 Milan Milan Milan Milan (Italy) (Italy) (Italy) (Italy) Gold sponsor : Gold sponsor : Gold sponsor : Gold sponsor : Day Day Day Day 3 ( 3 ( 3 ( 3 (14/05/2015 14/05/2015 14/05/2015 14/05/2015): ): ): ): Trading Strategies Trading Strategies Trading Strategies Trading Strategies - 3 Artificial Intelligence Based Strategies Artificial Intelligence Based Strategies Artificial Intelligence Based Strategies Artificial Intelligence Based Strategies • Portfolio Optimization • Portfolio Optimization • Portfolio Optimization • Portfolio Optimization Day Day Day Day 4 ( 4 ( 4 ( 4 (15/05/2015 15/05/2015 15/05/2015 15/05/2015): High ): High ): High ): High Frequency Frequency Frequency Frequency Trading Trading Trading Trading Market Market Market Market Making Making Making Making Strategies Strategies Strategies Strategies • Market Volume • Market Volume • Market Volume • Market Volume analysis analysis analysis analysis • HFT • HFT • HFT • HFT based based based based on on on on Order Order Order Order Imbalance Imbalance Imbalance Imbalance Q-TRADE BOOTCAMP AT A GLANCE TRADE BOOTCAMP AT A GLANCE TRADE BOOTCAMP AT A GLANCE TRADE BOOTCAMP AT A GLANCE Induction day (11/05/2015) Induction day (11/05/2015) Induction day (11/05/2015) Induction day (11/05/2015) • Programming 101 Programming 101 Programming 101 Programming 101 • Quantitative • Quantitative • Quantitative • Quantitative Analysis Analysis Analysis Analysis • Risk Risk Risk Risk Management Management Management Management • Trading Systems structure Trading Systems structure Trading Systems structure Trading Systems structure Day 1 ( Day 1 ( Day 1 ( Day 1 (12/05/2015 12/05/2015 12/05/2015 12/05/2015): Trading Strategies ): Trading Strategies ): Trading Strategies ): Trading Strategies - 1 Dispersion Trading and Correlation Dispersion Trading and Correlation Dispersion Trading and Correlation Dispersion Trading and Correlation Modelling Modelling Modelling Modelling • Trend • Trend • Trend • Trend Following Following Following Following strategies strategies strategies strategies • Statistical Statistical Statistical Statistical Arbitrage Arbitrage Arbitrage Arbitrage via via via via Kalman Kalman Kalman Kalman Filter Filter Filter Filter Day Day Day Day 2 (13/05/2015): 2 (13/05/2015): 2 (13/05/2015): 2 (13/05/2015): Trading Strategies Trading Strategies Trading Strategies Trading Strategies - 2 Statistical Statistical Statistical Statistical Arbitrage Arbitrage Arbitrage Arbitrage #QTradeBootcamp #QTradeBootcamp #QTradeBootcamp #QTradeBootcamp [email protected] [email protected] [email protected] [email protected] www.qtradeBootcamp.com www.qtradeBootcamp.com www.qtradeBootcamp.com www.qtradeBootcamp.com Hosted by: Hosted by: Hosted by: Hosted by:

Transcript of Q-Trade Bootcamp 2015: Quantitative, Algorithmic Trading & HFT

FiveFiveFiveFive----daysdaysdaysdays BootcampBootcampBootcampBootcamp inininin pointspointspointspoints::::

α IntensiveIntensiveIntensiveIntensive ProgramProgramProgramProgram:::: Boost your experience in HFT, Artificial Intelligence, Statistical Arbitrage, Machine

Learning, Trend following, Trading Systems, Portfolio Optimization

α RealRealRealReal tracktracktracktrack----recordsrecordsrecordsrecords:::: Tutors with real track-records and international recognized tracks

αMaterialMaterialMaterialMaterial:::: Selected theory, models and working codes in Matlab®, R and Python

α NetworkNetworkNetworkNetwork:::: Connect with Quant & Algo Traders, Fund Managers, Asset Management Companies

-Q-Trαde- Bootcamp 2015

� TheoryTheoryTheoryTheory

� CodingCodingCodingCoding & & & & simulationsimulationsimulationsimulation

� RealRealRealReal trading trading trading trading strategiesstrategiesstrategiesstrategies

The The The The QQQQ----TradeTradeTradeTrade bootcampbootcampbootcampbootcamp isisisis practicalpracticalpracticalpractical,,,, interactiveinteractiveinteractiveinteractive, business, business, business, business

orientedorientedorientedoriented and with an and with an and with an and with an optimaloptimaloptimaloptimal balance balance balance balance betweenbetweenbetweenbetween::::

Quαntitative, Algorithmic Trαding and HFT

May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

Gold sponsor :Gold sponsor :Gold sponsor :Gold sponsor :

DayDayDayDay 3 (3 (3 (3 (14/05/201514/05/201514/05/201514/05/2015): ): ): ): Trading Strategies Trading Strategies Trading Strategies Trading Strategies ---- 3333

• • • • Artificial Intelligence Based StrategiesArtificial Intelligence Based StrategiesArtificial Intelligence Based StrategiesArtificial Intelligence Based Strategies• Portfolio Optimization• Portfolio Optimization• Portfolio Optimization• Portfolio Optimization

DayDayDayDay 4 (4 (4 (4 (15/05/201515/05/201515/05/201515/05/2015): High ): High ): High ): High FrequencyFrequencyFrequencyFrequency TradingTradingTradingTrading• • • • Market Market Market Market MakingMakingMakingMaking StrategiesStrategiesStrategiesStrategies• Market Volume • Market Volume • Market Volume • Market Volume analysisanalysisanalysisanalysis• HFT • HFT • HFT • HFT basedbasedbasedbased on on on on OrderOrderOrderOrder ImbalanceImbalanceImbalanceImbalance

QQQQ----TRADE BOOTCAMP AT A GLANCETRADE BOOTCAMP AT A GLANCETRADE BOOTCAMP AT A GLANCETRADE BOOTCAMP AT A GLANCE

Induction day (11/05/2015)Induction day (11/05/2015)Induction day (11/05/2015)Induction day (11/05/2015)• • • • Programming 101Programming 101Programming 101Programming 101

• Quantitative • Quantitative • Quantitative • Quantitative AnalysisAnalysisAnalysisAnalysis

• • • • RiskRiskRiskRisk Management Management Management Management

• • • • Trading Systems structureTrading Systems structureTrading Systems structureTrading Systems structure

Day 1 (Day 1 (Day 1 (Day 1 (12/05/201512/05/201512/05/201512/05/2015): Trading Strategies ): Trading Strategies ): Trading Strategies ): Trading Strategies ---- 1111

• • • • Dispersion Trading and Correlation Dispersion Trading and Correlation Dispersion Trading and Correlation Dispersion Trading and Correlation ModellingModellingModellingModelling

• Trend • Trend • Trend • Trend FollowingFollowingFollowingFollowing strategiesstrategiesstrategiesstrategies• • • • StatisticalStatisticalStatisticalStatistical ArbitrageArbitrageArbitrageArbitrage via via via via KalmanKalmanKalmanKalman FilterFilterFilterFilter

DayDayDayDay 2 (13/05/2015): 2 (13/05/2015): 2 (13/05/2015): 2 (13/05/2015): Trading Strategies Trading Strategies Trading Strategies Trading Strategies ---- 2222

• • • • StatisticalStatisticalStatisticalStatistical ArbitrageArbitrageArbitrageArbitrage

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

Hosted by:Hosted by:Hosted by:Hosted by:

Top Top Top Top speakersspeakersspeakersspeakers::::

Rocco MosconiRocco MosconiRocco MosconiRocco Mosconi

Full ProfessorFull ProfessorFull ProfessorFull Professor

Milan Polytechnic

Ernest P. ChanErnest P. ChanErnest P. ChanErnest P. Chan

Managing DirectorManaging DirectorManaging DirectorManaging Director

QTS Capital Management

Simone SiragusaSimone SiragusaSimone SiragusaSimone Siragusa

Managing PartnerManaging PartnerManaging PartnerManaging Partner

Dinamis Advisor

Yiran LiuYiran LiuYiran LiuYiran Liu

Quant AnalystQuant AnalystQuant AnalystQuant Analyst

FX Broker

Who should consider attending this Bootcamp:Who should consider attending this Bootcamp:Who should consider attending this Bootcamp:Who should consider attending this Bootcamp:

� Trading Professionals* Trading Professionals* Trading Professionals* Trading Professionals* who wants to delve deeper into the state-of-the-art Trading techniques

� Hedge Fund managers Hedge Fund managers Hedge Fund managers Hedge Fund managers willing to explore diversification strategies

� New hires New hires New hires New hires and jobjobjobjob----rotatorsrotatorsrotatorsrotators looking to boost their skills in Algo Trading and HFT

� Independent analysts Independent analysts Independent analysts Independent analysts and traders traders traders traders willing to turn their trading ideas into automated strategies

� PostPostPostPost----gradsgradsgradsgrads, PhDsPhDsPhDsPhDs and Quantitative ResearchersQuantitative ResearchersQuantitative ResearchersQuantitative Researchers willing to break into the Quantitative Trading and

HFT sector

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

VenueVenueVenueVenue

Talent Garden Talent Garden Talent Garden Talent Garden IncubatorIncubatorIncubatorIncubator

Via Via Via Via MeranoMeranoMeranoMerano 16 , 16 , 16 , 16 ,

55100 55100 55100 55100 Milan (ItalyMilan (ItalyMilan (ItalyMilan (Italy))))

HFT sector

****such as: Quantitative Analysts, Traders, Quantitative Analysts, Traders, Quantitative Analysts, Traders, Quantitative Analysts, Traders, HFT specialists, Algorithmic Trading Strategists, Private HFT specialists, Algorithmic Trading Strategists, Private HFT specialists, Algorithmic Trading Strategists, Private HFT specialists, Algorithmic Trading Strategists, Private

investors, Hedge Fund Managers, Financial investors, Hedge Fund Managers, Financial investors, Hedge Fund Managers, Financial investors, Hedge Fund Managers, Financial Analysts & Engineers, Portfolio & Risk Analysts & Engineers, Portfolio & Risk Analysts & Engineers, Portfolio & Risk Analysts & Engineers, Portfolio & Risk Managers. Managers. Managers. Managers.

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

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Other eventsOther eventsOther eventsOther events

Expo Milano 2015 Expo Milano 2015 Expo Milano 2015 Expo Milano 2015

Universal Exhibition Universal Exhibition Universal Exhibition Universal Exhibition

May 1 May 1 May 1 May 1 –––– October 31, 2015October 31, 2015October 31, 2015October 31, 2015

Social Social Social Social evening:evening:evening:evening:

Gala dinner on 14 May included in the fourGala dinner on 14 May included in the fourGala dinner on 14 May included in the fourGala dinner on 14 May included in the four----days QTrade Bootcamp days QTrade Bootcamp days QTrade Bootcamp days QTrade Bootcamp

registration fee. Delegates’ guests can book the dinner by sending a registration fee. Delegates’ guests can book the dinner by sending a registration fee. Delegates’ guests can book the dinner by sending a registration fee. Delegates’ guests can book the dinner by sending a

mail to: mail to: mail to: mail to: [email protected]@[email protected]@ikbrokers.com

QQQQ----TRADE BOOTCAMP PROGRAMME DETAILSTRADE BOOTCAMP PROGRAMME DETAILSTRADE BOOTCAMP PROGRAMME DETAILSTRADE BOOTCAMP PROGRAMME DETAILS

Day 1 (Day 1 (Day 1 (Day 1 (May 12, 2015May 12, 2015May 12, 2015May 12, 2015): Trading ): Trading ): Trading ): Trading StrategiesStrategiesStrategiesStrategies

α Dispersion Trading & Correlation ModelingDispersion Trading & Correlation ModelingDispersion Trading & Correlation ModelingDispersion Trading & Correlation Modeling

Simone Simone Simone Simone SiragusaSiragusaSiragusaSiragusa

� Volatility Modelling

- Variance pitfalls, Exponential smoothing

- GARCH and Leverage effect

� Correlation Modelling

- Cluster analysis

- Monte Carlo with covariance matrixes

- Implied volatility arbitrage and the case of dispersion trading

- Correlation risk and hedge fund returns

α Trend Following StrategiesTrend Following StrategiesTrend Following StrategiesTrend Following Strategies

Giordano Giordano Giordano Giordano FrezzaFrezzaFrezzaFrezza

� Rho analysis, time series dependence on autocorrelation

� Trend following analysis and Trading Systems

α Statistical Arbitrage via Statistical Arbitrage via Statistical Arbitrage via Statistical Arbitrage via KalmanKalmanKalmanKalman FilterFilterFilterFilterRocco Mosconi & Rocco Mosconi & Rocco Mosconi & Rocco Mosconi & MattiaMattiaMattiaMattia ManzoniManzoniManzoniManzoni

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

The interactive approach of the Bootcamp:

trading strategies at EQuanT Bootcamp

(www.equantBootcamp.com)

Want to showcase Want to showcase Want to showcase Want to showcase your your your your services services services services or or or or

DayDayDayDay 2 2 2 2 ((((May 13, 2015May 13, 2015May 13, 2015May 13, 2015)))): : : : Statistical ArbitrageStatistical ArbitrageStatistical ArbitrageStatistical Arbitrage

α StatisticalStatisticalStatisticalStatistical ArbitrageArbitrageArbitrageArbitrage

Ernest P. ChanErnest P. ChanErnest P. ChanErnest P. Chan

� Stationarity and cointegration of time series

� Mean-reversion trading of pairs and triplets

- Finding the hedge ratio through Linear Regressiom

- Finding hedge ratio through Johansen test

- Case study: The breakdown of cointegration of GLD-GDX, the

economic reasons and the remedy.

� Half-life of mean-reversion

� Risk management of mean-reversion strategies

� Index arbitrage

- Trading an ETF against a basket of its component stocks.

- Constructing a basket : linear regression, constrained

optimization

� Long-short portfolio

- Long-short portfolio strategy of stocks in the S&P 500.

Rocco Mosconi & Rocco Mosconi & Rocco Mosconi & Rocco Mosconi & MattiaMattiaMattiaMattia ManzoniManzoniManzoniManzoni

� Kalman filter: latent variable model applied to systematic trading

strategy

- An alternative to cointegration

- An “in house” custom solution, backtesting

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

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Want to showcase Want to showcase Want to showcase Want to showcase your your your your services services services services or or or or

software for Quantitative software for Quantitative software for Quantitative software for Quantitative

Trading Trading Trading Trading & HFT?& HFT?& HFT?& HFT?

Send an email now to:Send an email now to:Send an email now to:Send an email now to:

[email protected]@[email protected]@ikbrokers.com

Day 3 Day 3 Day 3 Day 3 (May 14, 2015)(May 14, 2015)(May 14, 2015)(May 14, 2015): : : : Artificial Intelligence Artificial Intelligence Artificial Intelligence Artificial Intelligence

& Portfolio Optimization& Portfolio Optimization& Portfolio Optimization& Portfolio Optimization

α Artificial Intelligence Based StrategiesArtificial Intelligence Based StrategiesArtificial Intelligence Based StrategiesArtificial Intelligence Based StrategiesErnest P. ChanErnest P. ChanErnest P. ChanErnest P. Chan

� Paradigm of machine learning

� Training vs test data, in-sample vs out-of-sample

� AI techniques

- Stepwise linear regression

- Classification and regression trees (CART)

- Neural networks

- Genetic algorithms

- Bayesian networks

- Support Vector Machines (SVM)

� Bagging, Boosting and Predictors Standardization

α Portfolio OptimizationPortfolio OptimizationPortfolio OptimizationPortfolio Optimization

Ernest P. ChanErnest P. ChanErnest P. ChanErnest P. Chan

� Markowitz mean-variance optimization as applied to strategies

� Theoretical derivation of Kelly formula.

� Exercise: Testing the implications of Kelly formula.

� Exercise: Finding the optimal allocations of N strategies based on

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

EveningEveningEveningEvening DayDayDayDay 3: 3: 3: 3:

Grant award Grant award Grant award Grant award cerimonycerimonycerimonycerimony, gala , gala , gala , gala dinnerdinnerdinnerdinner ............

... And live show!... And live show!... And live show!... And live show!

� Exercise: Finding the optimal allocations of N strategies based on

Kelly formula.

� Simpler ways to allocate leverage.

Day 4 Day 4 Day 4 Day 4 (May 15, 2015)(May 15, 2015)(May 15, 2015)(May 15, 2015): : : : Market Making, Volume Impact & Market Making, Volume Impact & Market Making, Volume Impact & Market Making, Volume Impact &

High High High High FrquencyFrquencyFrquencyFrquency TradingTradingTradingTrading

α Market Making Market Making Market Making Market Making StrategiesStrategiesStrategiesStrategies

YiranYiranYiranYiran LiuLiuLiuLiu

� Types of Market Makers

- How to start a simple market making business (Broker-dealer

business model)

� Market Making strategies

- Plain Market Making (Non Offset, Full Offset, Direction, Timing)

- Sources of Market Making costs

� Optimal Control problem

- Hamilton-Jacobi Bellman Equation

- Feynman Kaĉ Theorem

- Solving HUB Equation

� Modelling Key Components

- Factors in a quantitative market making model

- Inventory & Order Book Models

- Short Term Prediction

� Testing the models and Factors in Real World

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

Day Day Day Day 3 3 3 3 ---- Business session:Business session:Business session:Business session:

Hedge Fund & Managed Account Advisory Hedge Fund & Managed Account Advisory Hedge Fund & Managed Account Advisory Hedge Fund & Managed Account Advisory

PlatformPlatformPlatformPlatform

� Strategy analysis, modelling, coding,

back-testing

� Risk assessment and Benchmarking

� Structuring best fit vehicle

� Froma model portfolio to execution,

reporting and performance attribution

� Cloud platform, specific for advisory

and mirror trading

Live Music Show at Memo Restaurant

Day 4 Day 4 Day 4 Day 4 (May 15, 2015)(May 15, 2015)(May 15, 2015)(May 15, 2015): : : : Market Making, Volume Impact Market Making, Volume Impact Market Making, Volume Impact Market Making, Volume Impact

& High & High & High & High FrquencyFrquencyFrquencyFrquency Trading Trading Trading Trading

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

DayDayDayDay 4 4 4 4 ---- TechnicalTechnicalTechnicalTechnical sessionsessionsessionsession::::

API Broker connectionAPI Broker connectionAPI Broker connectionAPI Broker connection

Michele Michele Michele Michele BogliardiBogliardiBogliardiBogliardi

� Propietary APIs

� APIs vs strategies (i.e. Spread Trading, HFT)

� Python, R and Matlab APIs

� Example: Matlab API in multiple Spread

Trading

α Trading approach: Market Volume Analysis Trading approach: Market Volume Analysis Trading approach: Market Volume Analysis Trading approach: Market Volume Analysis Antonio Antonio Antonio Antonio LenguaLenguaLenguaLengua

� Mechanic of market volume

� From discretional to systematic trading

α HFT based on Order Imbalance HFT based on Order Imbalance HFT based on Order Imbalance HFT based on Order Imbalance Rocco Mosconi & Rocco Mosconi & Rocco Mosconi & Rocco Mosconi & MattiaMattiaMattiaMattia ManzoniManzoniManzoniManzoni

� Quantitative Trading Strategies based on High Frequency Data

- Order imbalance indicator

- Time vs Volume Clock approaches

α Bonus Material: Bonus Material: Bonus Material: Bonus Material:

Strategies and HFT Architecture:Strategies and HFT Architecture:Strategies and HFT Architecture:Strategies and HFT Architecture:

Alex Alex Alex Alex SemanovSemanovSemanovSemanov

� Market Data

� Order Book Dynamics

� Identifying High Frequency Trading algorithms

� Coding and simulation examples using

� Analyzing execution tactics and techniques

� Developing back-testing tools

� Risk models and quantitative strategies

INDUCTION CLASSES PROGRAMME INDUCTION CLASSES PROGRAMME INDUCTION CLASSES PROGRAMME INDUCTION CLASSES PROGRAMME (May 11, 2015)

What you need to know to buildWhat you need to know to buildWhat you need to know to buildWhat you need to know to build----up and manage a trading system up and manage a trading system up and manage a trading system up and manage a trading system

• Programming Programming Programming Programming 101101101101

- Programming tools

- Scripts and built-in functions

- User-defined functions

- Data I/O and financial providers download

- Plotting functions

- Functions for random and stochastic variables

• Quantitative AnalysisQuantitative AnalysisQuantitative AnalysisQuantitative Analysis

- Time series analysis

- Normality, correlation and co-integration tests

- Basic stochastic processes (ABM, GBM,

Mean Reverting, OULs)

• Trading system structureTrading system structureTrading system structureTrading system structure

- Trading system process: from the idea to automatic trading

- Data base management

- Fees: spread, market impact, brokers

- Risk and performance quantitative parameters

- Objective/predictor, optimization, multi objective function

- IN/OUT and smoothing analysis

- Backtesting and execution

- Updating and Handling Risk Management in Automated systems

• Quantitative Risk ManagementQuantitative Risk ManagementQuantitative Risk ManagementQuantitative Risk Management

- Risk Metrics, factors

- Risk models and measures (VaR, ES, CVaR, PaR, CFaR)

PREPREPREPRE----REQUISITESREQUISITESREQUISITESREQUISITES

� Prior knowledge of programming highly beneficial but not requiredPrior knowledge of programming highly beneficial but not requiredPrior knowledge of programming highly beneficial but not requiredPrior knowledge of programming highly beneficial but not required

� GraduateGraduateGraduateGraduate----level knowledge of Finance, Calculus and Linear Algebra beneficiallevel knowledge of Finance, Calculus and Linear Algebra beneficiallevel knowledge of Finance, Calculus and Linear Algebra beneficiallevel knowledge of Finance, Calculus and Linear Algebra beneficial

� Induction classes on May 11Induction classes on May 11Induction classes on May 11Induction classes on May 11 to ensure homogeneity in starting skillsto ensure homogeneity in starting skillsto ensure homogeneity in starting skillsto ensure homogeneity in starting skills

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

� Risk models and quantitative strategies

THETHETHETHE TUTORSTUTORSTUTORSTUTORS

ErnestErnestErnestErnest PPPP.... ChanChanChanChan

Ernest Chan is the Managing Member of QTS Capital Management, LLC., a commodity pool operator and trading advisor

managing a hedge fund and individual accounts. He is the author of "Quantitative Trading: How to Build Your Own

Algorithmic Trading Business" and "Algorithmic Trading: Winning Strategies and Their Rationale", both published by John

Wiley & Sons. Ernie maintains a popular blog "Quantitative Trading" at epchan.blogspot.com. He is Adjunct Associate

Professor of Finance at Nanyang Technological University and an Industry Fellow of the NTU-SGX Centre for Financial

Education. He is also an adjunct faculty at Northwestern University's Master of Science in Predictive Analytics program.

YiranYiranYiranYiran LiuLiuLiuLiu

Yiran Liu is Quantitative Analyst with a UK-based leading Forex provider, responsible for conducting core quantitative

research and implementing it into an in-house high frequency pricing and market making system. He served as Quantitative

Strategist/Trader in Neutrino Capital and Oak Futures Europe where he was responsible for the algorithmic trading desk,

overseeing automated trading and generating trading strategies focusing on FX spot and Energy futures. Yiran has an M.Sc.

in Financial Mathematics from King’s College London, University of London.

RoccoRoccoRoccoRocco MosconiMosconiMosconiMosconi

Rocco Mosconi has been a Full Professor of Econometrics and Business Statistics at the Department of Management,

Economics and Industrial Engineering of the Polytechnic University of Milan since 2006. He has published articles in several

scientific journals, on cointegration analysis, in particular on non-causality in cointegrated systems, VAR with exogenous

variables and structural breaks. He is the author of the econometric package MALCOLM, for the econometric analysis of

non-stationary time series. He acts as a referee for several econometric journals. He has been a consultant for the

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

non-stationary time series. He acts as a referee for several econometric journals. He has been a consultant for the

monetary policy strategy division of the European Central Bank and for the Italian Authority for Energy

SimoneSimoneSimoneSimone SiragusaSiragusaSiragusaSiragusa

Simone Siragusa holds a B.Sc. and an MSc. In Finance from the University of Lugano. He is Head of Risk Management at

Dinamis Advisors, an advisory company based in Switzerland managing private and institutional funds. His interests include

clustered covariance and copulae, hedge fund replication models, stochastic volatility models and numerical methods. His

vast professional experience spans market and credit risk.

MattiaMattiaMattiaMattia ManzoniManzoniManzoniManzoni

Mattia Manzoni holds an M.Sc. in Management Engineering from the Polytechnic University of Milan . He is currently

working as a Quantitative Risk Analyst in the Risk Management Department of a leading Italian bank. He has worked as a

Markets Analyst for London Stock Exchange Group and as a Quantitative Analyst in the energy commodity sector (Enoi,

ENI). He has conducted research on financial econometrics as applied to quantitative trading. He studies trading strategies

applicable to drive systematic investments in hedge funds (e.g. statistical arbitrage, order flow trading rule).

AntonioAntonioAntonioAntonio LenguaLenguaLenguaLengua

Antonio Lengua has been a Prop Trader and Analyst since 1987. He has worked in leading derivatives trading rooms in

Milan. From 1991 to 2000 he was market maker on BTP futures and manager of the futures desk at Deutsche Bank –Milan.

Since 2001 he has worked as a proprietary trader, using novel techniques based on volumes analysis (published in the

book “Trattato di trading sui volumi”). He recently introduced pioneering techniques of psycho-emotional human dynamics

(published in the book “Trading emozioni e decisioni”), as applied to trading activity on Stoxx600. He is involved in the

development of a statistical learning trading system. His other publications include, “I consigli dei grandi trader” (ed.

Hoepli).

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

THETHETHETHE TUTORSTUTORSTUTORSTUTORS

GiordanoGiordanoGiordanoGiordano FrezzaFrezzaFrezzaFrezza

Giordano Frezza holds an M.Sc. in Aerospace Engineering from the University La Sapienza of Rome. He is currently

working in IKBrokers as Quantitative Analyst, developing proprietary trading systems and supporting strategy pooling for

the hedge fund industry. Giordano was partner at Galileo Finance S.p.A.. He has worked as a quantitative analyst and

trader for Equity Hedge Funds, an independent equity trader, and proprietary HFT Strategies developer in Equity

Derivatives, with a successful track record since 2009 (for more info visit www.analysisandtrading.com )

ManueleManueleManueleManuele MontiMontiMontiMonti

Manuele Monti holds an M.Sc. in Engineering – Operation Research and a Ph.D. in Engineering – Mathematical Modeling

and Computation from the University of Leicester (UK). He has worked for energy trading companies (GDF Suez,

AceaElectrabel Trading) as Quantitative Analyst, Structurer, Derivatives Trader, and Portfolio Manager.

Manuele has been Marie Curie researcher in the European Commission 6th Framework Program and High Performance

Computing (HPC) modeler. He is Chief Innovation Officer at IKBrokers, consulting on a variety of Quantitative Trading

projects, and managing a unique network that gathers together trading professionals, investment management

companies, researchers and FinTech startups.

MicheleMicheleMicheleMichele BogliardiBogliardiBogliardiBogliardi

Michele Bogliardi obtained his Degree in Physics 'Cum Laude' at Genoa University in 1991. Twenty-five years of

experience in Software Simulation and Algorithms Development. He develops Quantum Trading Systems on Equities,

Futures, Forex and Options. He is TradeStation EsayLanguage Specialist and Open Platform Developer License. He is the

Author of Quantum Trading Systems based on Spread Trading on Multiple Assets, White Noise Trading Systems, Low

Entropy Pattern Trading Systems.

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

Entropy Pattern Trading Systems.

ABOUT PREVIOUS IKBROKERS BOOTCAMP EDITIONS:ABOUT PREVIOUS IKBROKERS BOOTCAMP EDITIONS:ABOUT PREVIOUS IKBROKERS BOOTCAMP EDITIONS:ABOUT PREVIOUS IKBROKERS BOOTCAMP EDITIONS:

“The Bootcamp was a great experience, the best

training I have attended so far” Quant Risk ProfessionalQuant Risk ProfessionalQuant Risk ProfessionalQuant Risk Professional

“The Bootcamp was extremely interesting and useful, both in terms of contents and making connections

with other people“ Head of Quantitative DevelopmentHead of Quantitative DevelopmentHead of Quantitative DevelopmentHead of Quantitative Development

“Fantastic experience really!” Derivatives TraderDerivatives TraderDerivatives TraderDerivatives Trader

“It was nice to see the deep relations between markets

and math models !” PostdocPostdocPostdocPostdoc and Ph.D. Theoretical Physicsand Ph.D. Theoretical Physicsand Ph.D. Theoretical Physicsand Ph.D. Theoretical Physics

FOR MORE COOL MOMENTS FOLLOW FOR MORE COOL MOMENTS FOLLOW FOR MORE COOL MOMENTS FOLLOW FOR MORE COOL MOMENTS FOLLOW : : : :

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

Intensive, Interactive, Friendly, HandsIntensive, Interactive, Friendly, HandsIntensive, Interactive, Friendly, HandsIntensive, Interactive, Friendly, Hands----on. on. on. on.

Not just a Not just a Not just a Not just a ‘‘‘‘sit and listensit and listensit and listensit and listen’’’’ conference!conference!conference!conference!

* Group of delegates: two delegates extra 10% off, three or more delegates extra 15% off

* Academics: 40% off the full registration (before 31/04/2015), 30% off the full registration (after 31/04/2015)

** MSc and PhD Students, Graduates (in the last 6 months before registration), researchers, university interns

All prices are excluding VAT.

REGISTRATION FEESREGISTRATION FEESREGISTRATION FEESREGISTRATION FEES

� SuperSuperSuperSuper----early registration discount (30% off) registering by 10/03/2015 early registration discount (30% off) registering by 10/03/2015 early registration discount (30% off) registering by 10/03/2015 early registration discount (30% off) registering by 10/03/2015

� Early registration discount (20% off) registering by 14/04/2015 Early registration discount (20% off) registering by 14/04/2015 Early registration discount (20% off) registering by 14/04/2015 Early registration discount (20% off) registering by 14/04/2015

� Further discount for the Further discount for the Further discount for the Further discount for the 4444----days days days days Bootcamp for academics** and groups Bootcamp for academics** and groups Bootcamp for academics** and groups Bootcamp for academics** and groups of more than one of more than one of more than one of more than one professional professional professional professional

delegate*delegate*delegate*delegate*

Super Early registrationSuper Early registrationSuper Early registrationSuper Early registration

(before 10/03/2014) (before 10/03/2014) (before 10/03/2014) (before 10/03/2014)

Early registrationEarly registrationEarly registrationEarly registration

(before 30/04/2014) (before 30/04/2014) (before 30/04/2014) (before 30/04/2014)

Full registrationFull registrationFull registrationFull registration

(after 30/04/2015) (after 30/04/2015) (after 30/04/2015) (after 30/04/2015)

Limited places!Limited places!Limited places!Limited places!

Full 4Full 4Full 4Full 4----days Qdays Qdays Qdays Q----Trade Trade Trade Trade BootcampBootcampBootcampBootcamp 1300 1490 1860

1 day of 1 day of 1 day of 1 day of BootcampBootcampBootcampBootcamp 410 470 590

Induction dayInduction dayInduction dayInduction day 220 260 320

-Q-Trαde- Bootcamp 2015May 11May 11May 11May 11----15, 2015 15, 2015 15, 2015 15, 2015

MilanMilanMilanMilan (Italy)(Italy)(Italy)(Italy)

COURSE COURSE COURSE COURSE TERMS TERMS TERMS TERMS AND CONDITIONSAND CONDITIONSAND CONDITIONSAND CONDITIONS::::

BOOKINGBOOKINGBOOKINGBOOKING

To book please contact To book please contact To book please contact To book please contact IKBrokersIKBrokersIKBrokersIKBrokers at: at: at: at: [email protected]@[email protected]@ikbrokers.com or online by or online by or online by or online by

the «Register» the «Register» the «Register» the «Register» button at button at button at button at www.qtradetBootcamp.comwww.qtradetBootcamp.comwww.qtradetBootcamp.comwww.qtradetBootcamp.com

Bookings are regarded as confirmed when the confirmation email is Bookings are regarded as confirmed when the confirmation email is Bookings are regarded as confirmed when the confirmation email is Bookings are regarded as confirmed when the confirmation email is

received from received from received from received from [email protected]@[email protected]@ikbrokers.com A lA lA lA live assistant ive assistant ive assistant ive assistant for online booking for online booking for online booking for online booking

can be also accessed at the indicated time at: can be also accessed at the indicated time at: can be also accessed at the indicated time at: can be also accessed at the indicated time at:

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

Due to the limited number of places available bookings by academics Due to the limited number of places available bookings by academics Due to the limited number of places available bookings by academics Due to the limited number of places available bookings by academics

and singleand singleand singleand single----day bookings are held on standby and can be cancelled by day bookings are held on standby and can be cancelled by day bookings are held on standby and can be cancelled by day bookings are held on standby and can be cancelled by

the administration.the administration.the administration.the administration.

PROGRAMME:PROGRAMME:PROGRAMME:PROGRAMME:

We are committed to maintaining the highest standards and the We are committed to maintaining the highest standards and the We are committed to maintaining the highest standards and the We are committed to maintaining the highest standards and the

continuous improvement of the original program. continuous improvement of the original program. continuous improvement of the original program. continuous improvement of the original program.

Due to unforeseen circumstances the Due to unforeseen circumstances the Due to unforeseen circumstances the Due to unforeseen circumstances the BootcampBootcampBootcampBootcamp schedule and schedule and schedule and schedule and

speakers can be subject to change, postponed or cancelled. speakers can be subject to change, postponed or cancelled. speakers can be subject to change, postponed or cancelled. speakers can be subject to change, postponed or cancelled.

SUBSTITUTIONS:SUBSTITUTIONS:SUBSTITUTIONS:SUBSTITUTIONS:

For For For For IKBrokersIKBrokersIKBrokersIKBrokers courses, clients may substitute the original delegate courses, clients may substitute the original delegate courses, clients may substitute the original delegate courses, clients may substitute the original delegate

with another person with another person with another person with another person in in in in the same rate category at no extra charge. the same rate category at no extra charge. the same rate category at no extra charge. the same rate category at no extra charge.

Written notification is required in order to substitute a delegate.Written notification is required in order to substitute a delegate.Written notification is required in order to substitute a delegate.Written notification is required in order to substitute a delegate.

BOOKING CANCELLATIONS:BOOKING CANCELLATIONS:BOOKING CANCELLATIONS:BOOKING CANCELLATIONS:

Cancellation of the course booking will be subject to the terms below:Cancellation of the course booking will be subject to the terms below:Cancellation of the course booking will be subject to the terms below:Cancellation of the course booking will be subject to the terms below:

-10% charge for cancellation with 30+ days notice10% charge for cancellation with 30+ days notice10% charge for cancellation with 30+ days notice10% charge for cancellation with 30+ days notice

-30% fee due for cancellation within 30 days notice30% fee due for cancellation within 30 days notice30% fee due for cancellation within 30 days notice30% fee due for cancellation within 30 days notice

-70% fee due for cancellation with 5+ days notice70% fee due for cancellation with 5+ days notice70% fee due for cancellation with 5+ days notice70% fee due for cancellation with 5+ days notice

-100% fee due for cancellation within 5 days of the start of the session100% fee due for cancellation within 5 days of the start of the session100% fee due for cancellation within 5 days of the start of the session100% fee due for cancellation within 5 days of the start of the session

CANCELLATION OF COURSE BY CANCELLATION OF COURSE BY CANCELLATION OF COURSE BY CANCELLATION OF COURSE BY IKBrokersIKBrokersIKBrokersIKBrokers::::

IKBrokersIKBrokersIKBrokersIKBrokers reserves the right to amend or cancel the course, course times, reserves the right to amend or cancel the course, course times, reserves the right to amend or cancel the course, course times, reserves the right to amend or cancel the course, course times,

dates or published prices. Changes to course prices, times and dates will be dates or published prices. Changes to course prices, times and dates will be dates or published prices. Changes to course prices, times and dates will be dates or published prices. Changes to course prices, times and dates will be

advised before the course start date and any course already paid in full will advised before the course start date and any course already paid in full will advised before the course start date and any course already paid in full will advised before the course start date and any course already paid in full will

not be subject to the increased price.not be subject to the increased price.not be subject to the increased price.not be subject to the increased price.

LAPTOPS:LAPTOPS:LAPTOPS:LAPTOPS:

You will not need a laptop to follow the You will not need a laptop to follow the You will not need a laptop to follow the You will not need a laptop to follow the BootcampBootcampBootcampBootcamp, although a laptop with a , although a laptop with a , although a laptop with a , although a laptop with a

properly installed version of properly installed version of properly installed version of properly installed version of MatlabMatlabMatlabMatlab®, R® and ®, R® and ®, R® and ®, R® and PhytonPhytonPhytonPhyton® is strongly ® is strongly ® is strongly ® is strongly

recommended to follow the examples and coding applications.recommended to follow the examples and coding applications.recommended to follow the examples and coding applications.recommended to follow the examples and coding applications.

Full Matlab® codes compatibility is only ensured by Full Matlab® codes compatibility is only ensured by Full Matlab® codes compatibility is only ensured by Full Matlab® codes compatibility is only ensured by Matlab®2015. Matlab®2015. Matlab®2015. Matlab®2015. If you are If you are If you are If you are

not able to bring a laptop with licenses to the not able to bring a laptop with licenses to the not able to bring a laptop with licenses to the not able to bring a laptop with licenses to the BootcampBootcampBootcampBootcamp you are advised to ask you are advised to ask you are advised to ask you are advised to ask

the organizers about any related limitations.the organizers about any related limitations.the organizers about any related limitations.the organizers about any related limitations.

#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp#QTradeBootcamp

[email protected]@[email protected]@ikbrokers.com

www.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.comwww.qtradeBootcamp.com

� The Knowledge Hub for the Quantitative, Algo Trading & HFT communityThe Knowledge Hub for the Quantitative, Algo Trading & HFT communityThe Knowledge Hub for the Quantitative, Algo Trading & HFT communityThe Knowledge Hub for the Quantitative, Algo Trading & HFT community

� Designed through an assessment of trading industry Request For Qualifications (RFQs)Designed through an assessment of trading industry Request For Qualifications (RFQs)Designed through an assessment of trading industry Request For Qualifications (RFQs)Designed through an assessment of trading industry Request For Qualifications (RFQs)

� Creating a unique ecosystem of professionals, investors and Creating a unique ecosystem of professionals, investors and Creating a unique ecosystem of professionals, investors and Creating a unique ecosystem of professionals, investors and FinTechFinTechFinTechFinTech startups startups startups startups