Students on our Finance Master’s programmes had an incredible opportunity to study our Introduction to Algorithmic Trading international elective in New York City.
This once in a lifetime experience saw 17 students head to the Big Apple, under the guidance of Dr Andrei Kirilenko, the Director of the Centre for Global Finance and Technology at the Business School, and Professor James Sefton.
The objective of the elective is to introduce students to analytical techniques and algorithmic methods that are relevant to algorithmic trading. Andrei says:
The elective was in an environment that simulates the workflow of a quantitative trader/investor. Students built quantitative trading and investment strategies from idea to full implementation.
The module was split into three parts. The first part was an online Python tutorial that had to be completed prior to the trip. The second part was a series of online sessions and assignments, which were also completed before the trip. Online sessions introduced students to the concepts of pairs trading, visualising market data, market liquidity, using statistics to help build algorithms and selecting and using factors in algorithms. Andrei says:
We gave them the tools to work on quantitative implementation of the ideas that are related to quantitative investment. We used a free online open API platform where you can create an idea, implement it quantitatively in Python and backtest it with real historical data, using analytics that are flexible and fully encoded.
The Python tutorial and online primers gave students the necessary foundation for how to approach an investment problem to ready them for the trip to NYC, where over five very busy days students worked from start to finish on quantitative implementation of their investment ideas, as well as visiting stock exchanges, major banks and hedge funds.
Building a quantitative hedge fund
To make the module maximally realistic, students worked in groups as quantitative hedge funds. They had to come up with a unique idea, quantitatively implement it, backtest it, wrap it as a hedge fund and pitch it to industry experts.
The industry experts evaluated them in an X-Factor style presentation, giving them feedback on the operational feasibility of their ideas. Alongside this, students went on company visits every day to give them a further insight into the world of algorithmic trading to help build their quantitative fund.
They had the amazing opportunity to visit the New York Stock Exchange, which is the world’s largest stock exchange by market capitalisation. Soaking up the atmosphere of this trading giant was a highlight for many students on the elective.
They also visited a new upstart exchange called the Investor’s Exchange (IEX), the Federal Reserve Bank of New York and Morgan Stanley. Andrei says, “Students could see the whole ecosystem of trading in New York directly through these visits.”
By the end of the elective, students understood algorithmic trading and could build a fully functioning quantitative fund. From this elective, students are in a much better position for getting a job. Andrei says:
Markets are automated now, if you’re interested in quantitative trading this is something you want to take. Even if you are going somewhere as an analyst on the desk, you still need to know, once you come up with an idea, how is it actually going to be implemented, which will be done with lines of code. If you can do it yourself and run it through, you will be in a much better position in your workplace to make sure your idea is implemented and becomes part of the investment strategy.
This is the second year we have run the Introduction to Algorithmic Trading elective in NYC, and it is globally unique to Imperial. Andrei says, “I hear from a number of top educational institutions that they’re thinking of starting something like this, so we are way ahead of the curve in terms of what we’re offering. This is a very hands-on module and I am especially pleased to hear that the students who took the module are now directly applying their knowledge as part of the recently launched Student Investment Fund at Imperial.”
Students had the opportunity to showcase their photography skills in our Photo Competition. We awarded a prize to the standout image from the trip.
Congratulations to Manvendra Agrawal for winning the competition with his fantastic photo inside the New York Stock Exchange. He managed to capture the excitement and chaos of the busy trading floor.
Being an active financial markets participant all my life, I was extremely honoured to visit the NYSE, see millions worth of trades go down and witness the closing bell. I am privileged to experience such thrill and adrenaline and on behalf of our student group, I would like to thank Imperial Business School and our programme team for giving us such a wonderful opportunity.