Algorithmic Trading Phd Thesis

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A major boost to automation came in 1990s with the introduction of ECNs ( Electronic Communication Networks).

This enabled placing orders at some place other than exchange.

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).

Next task is maintaining the portfolio which aims to retain the AUM( assets under management) of the selected portfolio if not incrementing it.

For maintaining portfolio, re-balancing is done which involves buying some securities and selling some other ones.There were several notable events which helped introduction to automation of the algorithmic trading.It started in 1971 when NASDAQ became world's first electronic market.While automated execution algorithms have outperformed their human counterparts, there have been sporadic events which implicate automation of trading of destabilizing the markets.The flash crash on May 6th 2010, the enormous loss of 0m in mere 30 minutes by Knight Capital on August 1st 2012 are some of the examples which illustrate the severity of the mistakes occurring at dazzling speeds, thanks to large scale automation in algorithmic trading.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.People started subscribing to ECNs and started to place orders using them.There were two notable events in 21st century which decidedly sealed the imminent domination of automation in algorithmic trading.One was the introduction of modern portfolio theory done as a PHD thesis under Prof.Jacob Marschak by an intelligent and fortunate guy named Harry Markowitz.


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