Algorithmic Trading Phd Thesis

First task is portfolio formation: decide which securities to invest in and in what proportion.

This is decided by taking into consideration many factors like how much risk is to be taken, how much return is expected, duration of the investment etc.

Money, one of the manifestations of the intrinsic nature of man namely comparison, has come a long way from being merely a evaluating metric of objects to being the very substance of the complex structure and workings of stock markets.

But then again, it is but merely a sharper mind predicting the behaviour of the crowd. In this era of automation, trading has not remained untouched with automated algorithmic trading taking over the manual trading in markets rapidly.

This problem of efficient execution of trades is what we are trying to solve at qleap.

There is however, almost always, another side to any story.This would lead to detecting momentary price differences between exchanges.Now, let me tell you something on algorithmic trading: What is it about? One could decouple algorithmic trading into several tasks.Other was the development of signal theory: extracting meaningful patterns from data.Signal theory helped to predict fair price of a security.For execution of trades arising out of the Portfolio Management re-balancing procedure, one would want low prices for buy orders and high prices of sell orders.Execution algorithms are responsible for efficient execution of trades by distributing the execution over time ( they wait for the locally best conditions for trade and then place orders) and space ( they exploit the difference in price across exchanges and place orders to best suited exchange).Traders who were making profits due to spread had to look to other means of making profits.The other event was a regulatory change by SEC which enforced trade orders to be posted nationally.In 2001, US exchanges decided to shift to quoting prices in decimals from quoting prices in fractions.This reduced the minimum spread to 1 cent, reduction being more than six times the erstwhile minimum spread.

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