Equity Trading & an Introduction to High Frequency Trading
Delivery mode and hours
Date: 28 & 29 October
Time: 11 am to 2 pm Beirut time
Mode: Virtual delivery
Day 1: Equity Market Structure & Algorithmic Execution (3 hours)
Modern Market Structure & The Order Book
• Execution Venues: Evolution of trading venues: From open outcry to lit exchanges, dark pools, and MTFs/ATSs.
• Order types demystified: Limit, Market, Stop, Iceberg, and Pegged orders.
• Order Book Mechanics: Central Limit Order Book (CLOB) principles, order types, and price-time priority
• Interactive Exercise: Manual Order Book Simulation — Participants act as buyers, sellers, and market makers to manually match orders, build a depth ladder, and observe spread dynamics.
Algorithmic Trading Foundations
• Execution Strategies: Core institutional algorithms including VWAP, TWAP, and Implementation Shortfall
• Execution Quality: Measuring transaction costs, benchmark tracking, and controlling slippage
• Case Exercise: Order Routing Strategy Choice — Given a large institutional block order under varying liquidity conditions, small groups select and defend an optimal execution algorithm.
Day 2: Introduction to High Frequency Trading (HFT) (3 hours)
De-mystifying HFT Infrastructure & Strategies
• HFT Fundamentals: Co-location, ultra-low latency hardware, and microsecond execution speeds
• Core Strategies: Automated market making and cross-venue statistical arbitrage
• Interactive Exercise: Anatomy of a Microsecond — A visual mapping exercise comparing standard algorithmic trade routing with an HFT co-located execution path.
Market Quality, Systemic Risk & Regulation
• Market Impact: Evaluating real vs. phantom liquidity and liquidity provision during stress
• Regulatory Safeguards: Circuit breakers, price bands, and anti-spoofing enforcement
• Group Exercise: Market Incident Analysis — Review an anonymized flash crash scenario to evaluate regulatory mechanism responses.
Regional Application & Future Preparedness
• Regional Evaluation: Assessing liquidity depth, exchange fragmentation, and regulatory frameworks across Arab markets
• Final Action Exercise: Regional Readiness Checklist — Interactive discussion and survey mapping the infrastructure and regulatory prerequisites AFCM exchanges must address before accepting high-frequency strategies.
Registration & Inquiries:
Sally Yassin sally.yassin@arab-exchanges.org