Execution and Trading on Equity Markets The New Landscape. Singapore, 26 March 2014 Institute

Transcription

1 Execution and Trading on Equity Markets The New Landscape Singapore, 26 March 2014 Institute

2 Execution and Trading on Equity Markets The New Landscape Singapore, 26 March 2014 The New Execution Landscape > Over the past two decades, regulation and technology have allowed for the development of competing venues for order execution. While traditional exchanges have modernised, lowlatency venues, dark pools, and other non-traditional markets have emerged. These new venues often target specific clienteles, ranging from fast algorithmic traders to passive buy-side investors. The resulting market fragmentation and the opacity of some venues raises several important issues for market participants, market operators, and regulators. At the same time, these new developments can be value enhancing for traders and firms offering order execution services. A comprehensive understanding of today s market structure is necessary to develop best execution strategies, to optimise trading strategies, and to put into context the regulatory agendas in the major financial markets; equipping participants with this understanding is one of the course s objectives. markets. The course also reviews regulatory developments related to high-frequency trading, including the recent changes to circuitbreaker rules. > Besides high-frequency trading strategies and dark pools, short selling has been high on regulatory agendas over the past decade. Short selling is an important traditional source of liquidity and represents a key ingredient for many asset management and trading strategies. This course reviews what short sellers do, how their activity differs from other trading, and presents recent evidence on how short-sellers impact markets and other traders. It also assesses the consequences of the bans on short selling that were imposed around the world and discusses the current regulatory agenda. > Technology has also allowed for the development of new highfrequency trading strategies that dominate trading volume on European and North American equity markets and are developing rapidly in Asia. Some of these strategies provide liquidity but their overall effects on market quality, the cost of trading, and systemic risk are not yet well understood. This course presents recent academic evidence on algorithmic and high frequency trading strategies and discusses their consequences on market quality and the trading environment. Understanding high-frequency trading strategies and their consequences helps in optimising execution in today s markets. It is also a basis for developing appropriate regulatory responses to high-frequency trading strategies that limit market abuse and systemic risk without obstructing competition among traders and 2

3 Execution and Trading on Equity Markets The New Landscape Singapore, 26 March 2014 Key Learning Benefits > Understand equity market microstructure > Measure liquidity and transaction costs > Evaluate brokers and execution venues > Understand what short sellers do and how they impact markets and other traders > Understand hidden liquidity and dark pools > Understand high-frequency trading and its impact on markets and other traders > Review regulatory issues and developments Who Should Attend > The programme is intended for buy-side and sell-side investment professionals who advise on or participate in the design and implementation of execution and trading strategies. It is also relevant for practitioners working in financial regulation, supervision, and enforcement. The seminar should be of particular interest to practitioners with the following functions and from the following types of institutions: Functions Heads of trading and traders Chief investment officers and portfolio managers Performance measurement managers Chief risk officers and risk managers Analysts and investment officers Research officers Legal counsels Investment advisers/consultants Institutions Asset and wealth management companies Brokerages and investment banks Institutional investors Consultancies Market authorities and central banks Proprietary traders 3

4 Execution and Trading on Equity Markets The New Landscape Singapore, 26 March 2014 Seminar Instructor Ekkehart Boehmer Ekkehart Boehmer joined EDHEC Business School in 2011 and currently holds the positions of Chair Professor of Finance and Assistant Academic Director for the Asian Chapter of the EDHEC-Risk Institute PhD in Finance programme. He is an expert in equity market microstructure. His recent work concentrates on high frequency trading, short selling, and trading in related markets with a special emphasis on their implications for market quality and optimal regulation. Part of his earlier work focuses on market design, execution cost analysis, and price discovery in equity markets. Dr. Boehmer serves as an Associate Editor for the Review of Financial Studies, the Journal of Financial Markets and Financial Management. He is also a Director of the European Finance Association. His articles have been published in the top finance journals, including the Journal of Finance, the Journal of Financial Economics, the Journal of Financial and Quantitative Analysis and the Review of Financial Studies. His research awards include a 2011 Fama-DFA award for the best paper in the Journal of Financial Economics. In 2008, he was runner-up for the Smith-Breeden price for the best paper in the Journal of Finance. In addition to previous chaired academic appointments at the University of Oregon and Texas A&M University, Dr. Boehmer has several years of experience within the financial industry. From 1999 to 2000, he held a position as a Senior Economist at the U.S. Securities and Exchange Commission; and from 2001 to 2003, he was a Director of Research at the New York Stock Exchange. 4

5 Execution and Trading on Equity Markets The New Landscape Singapore, 26 March 2014 Course Structure Course Outline 1. Introduction to market microstructure > Brief overview of microstructure theory > Market order price risk > Limit order adverse selection and execution risk > Market maker inventory risk > Market maker information risk > Components of the bid-ask spread 2. Liquidity, transaction costs and best execution > Measuring available liquidity > Measuring transaction costs > Evaluating brokers > Evaluating execution venues > Managing information leakage and price impacts > Using appropriate transaction costs measures for portfolio management > Regulatory issues around best execution 4. Hidden liquidity and dark pools > Summary of current market structure in the U.S. and Europe > Hidden liquidity and dark pools > Toxic flow vs. buy side flow in dark pools > Current regulatory issues regarding hidden liquidity 5. High frequency trading > Why is high frequency trading special? > High frequency trading strategies and their consequences for trading and markets > Current academic evidence on the consequences of high frequency trading > The effect of HFT on transaction costs for other traders > Open questions > Current regulatory issues and recent developments regarding high frequency trading 3. Short selling > Economic and political importance > Information short sellers use > The effect of short selling on transaction costs for other traders > The impact of short selling bans > Current regulatory issues regarding short selling 5

6 Execution and Trading on Equity Markets The New Landscape Singapore, 26 March 2014 Schedule The course will start at 8:30am and will finish at 6:00pm. The two class sessions in each half-day lecture are separated by thirty-minute refreshment breaks, and there is a one and a half hour lunch break. Continuing Education Credits Venue EDHEC Risk Institute Asia 1 George Street, #07-02 Singapore Tel.: Fees, Billing & Cancellation policy Fees Standard rate: SGD 780 exc. GST CFA Institute Member rate: SGD 680 exc. GST GST at a rate of 7% applies to all sales to Singapore entities and to all sales to individual (i.e. non-corporate) customers. Fees include instruction, documentation, refreshments at breaks, and lunch. Accommodation is not included. As a participant in the CFA Institute Approved-Provider Program, EDHEC-Risk Institute has determined that this program qualifies for 7 credit hours. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE tracking tool. Please see for more information. Billing and payment The fee is billed following registration and must be settled before the seminar begins. Payment can be made by wire transfer or cheque drawn on a Singapore bank. Transfer or cancellation Transfer of registration to a colleague, upon written notice, is allowed and free of charge. Cancellations of confirmed seats must be received in writing and are subject to the following charges: 45 to 30 days notice: 25% of the tuition fee; 29 to 11 days notice: 50% of the tuition fee; 10 days notice or less: 100% of the tuition fee. Further Information and Registration For further information, contact Mélanie Ruiz at: EXECeducation@edhec-risk.com or on: To register, visit: or send the completed registration form: by to: EXECeducation@edhec-risk.com by fax to:

7 Founded in 1906, EDHEC Business School offers management education at undergraduate, graduate, post-graduate and executive levels. Holding the AACSB, AMBA and EQUIS accreditations and regularly ranked among Europe s leading institutions, EDHEC Business School delivers degree courses to over 6,000 students from the world over and trains 5,500 professionals yearly through executive courses and research events. The School s Research for Business policy focuses on issues that correspond to genuine industry and community expectations. Part of EDHEC Business School and established in 2001, EDHEC-Risk Institute has become the premier academic centre for industry-relevant financial research. In partnership with large financial institutions, its team of over ninety-five permanent professors, engineers, and support staff, and fortyeight research associates and affiliate professors, implements six research programmes and sixteen research chairs and strategic research projects focusing on asset allocation and risk management. EDHEC-Risk Institute also has highly significant executive education activities for professionals. It has an original PhD in Finance programme which has an executive track for high level professionals. Complementing the core faculty, this unique PhD in Finance programme has highly prestigious affiliate faculty from universities such as Princeton, Wharton, Oxford, Chicago and CalTech. In 2012, EDHEC-Risk Institute signed two strategic partnership agreements with the Operations Research and Financial Engineering department of Princeton University to set up a joint research programme in the area of risk and investment management, and with Yale School of Management to set up joint certified executive training courses in North America and Europe in the area of investment management. More information: Institute EDHEC-Risk Institute 393 promenade des Anglais BP Nice Cedex 3 France Tel: +33 (0) EDHEC Risk Institute Europe 10 Fleet Place, Ludgate London EC4M 7RB United Kingdom Tel: EDHEC Risk Institute Asia 1 George Street #07-02 Singapore Tel: EDHEC Risk Institute North America One Rockefeller Plaza 10th & 11th Floors New York, NY USA Tel: EDHEC Risk Institute France rue du 4 septembre Paris France Tel: +33 (0)