Seminar: Algorithmic Trading with MATLAB

	Date	30 March 2010
	Venue	Southern Sun Hotel, Hyde Park
	Time	08:30 - 12:30
	Algorithmic trading is a complex and multi-dimensional problem. There are a large number of different challenges that need to be addressed and solved. This introductory seminar will explore how MATLAB and related Toolboxes can be used to solve the different aspects of implementing algorithmic trading, including the development, building and testing of a robust trading algorithm.

 

The process of developing an efficient and well performing trading algorithm requires one to solve a range of surrounding issues including data gathering, preparation and visualization, model development, backtesting, calibration, integration with existing systems and ultimately deployment. In this seminar, we look at each of the parts in this process and see how MATLAB provides a single platform that allows the efficient solution of all parts of this problem.

In this seminar, financial services professionals will be introduced to MATLAB examples of trading applications. A number of trading algorithms will be demonstrated including both simple models, using moving average and RSI, and more complex models, using cointegration and the pairs trading approach. These algorithms will be backtested for the verification of their efficiency and performance. The deployment of algorithms into different environments for integration with trading platforms will be demonstrated. Finally, an example of a trading application will be shown using MATLAB's sister products, Simulink and Stateflow, which allow for algorithms to be designed graphically.

Seminar Highlights

Features covered in this Seminar include:

• Data gathering options, including daily historic, intraday, and real-time data
• Model building and prototyping in MATLAB
• Backtesting and calibrating a model
• Interacting with existing libraries and software
• Deployment of the final application in a number of environments, including .NET, JAVA, and Excel

Agenda

• 08:30 - 09:00 - Registration. Tea, coffee and pastries
• 09:00 - 09:30 - Introduction
• 09:30 - 10:00 - The algorithmic trading workflow
• 10:00 - 10:30 - Numerical examples
• 10:30 - 10:45 - Tea/coffee break
• 10:45 - 11:30 - Deployment
• 11:30 - 12:00 - Simulink: A 'new' financial modelling tool
• 12:00 - 12:30 - Concluding remarks - Questions and Answers