presents a training conference:

high performance trading strategies

across asset classes
August 25 - 27 2010 | New York City

Keynote Speakers
“A Regulatory Perspective on 21st “The Future of Global

Program Agenda
Century Equity Trading” Market Structure”
Dr Chester Spatt, Pamela R. and Kenneth B. Dunn Dr Robert Barnes
Professor of Finance Managing Director, Equities
Carnegie Mellon University; Former Chief UBS & CEO UBS MTF
Economist, SEC

Featuring 25+ Algorithmic Thought-Leaders, including:

Kevin Mahn Jeff Parent Marc Groz
Chief Investment Officer Head of Wealth Managing Director,
Hennion &Walsh Asset Management and Associate Head of Corporate
Management Portfolio Manager Development
Quadrexx Asset SPM LLC
Management

Thomas Kirchner Jonathan Kanterman William Kenney

President & Managing Director CEO
Portfolio Manager Stillwater Capital Knox Capital
Pennsylvania Avenue Management
Funds

Ellen Lee Alison Graham Stephen Malloy

VP, Policy & Chief Investment Officer CEO
Regulatory Risk Voltan Capital Tunnelbrook Capital
TD Asset Management Management

www.AlgoTradingSummit.com
high performance trading strategies
across asset classes
The blame, then, for the May 6 stock plunge rests neither on errant traders nor on 25+ Industry Leading Thought-
tensions over Greece, but on the system itself, SF analyst Chris Brendler wrote in a May 7 Leaders, including:
note. Regulators must now play catch-up, he says. “The evolution of trading technology
Dr Chester Spatt, Pamela R. and Kenneth B.
and market structure over the last decade has been far too rapid for regulation to keep
Dunn Professor of Finance, Carnegie
pace. – Business Week, May 10th 2010
Mellon University; Former Chief
Economist, SEC
Dr Robert Barnes, Managing Director,
Equities, UBS & CEO UBS MTF
Dear Colleague,
Kevin Mahn, Chief Investment Officer,
On May 6th of this year, in what is widely regarded as a freak algorithmic trading Hennion & Walsh Asset Management
accident, the Dow lost over a thousand points – the biggest percentage drop since the Thomas Kirchner, President & Portfolio
Black Monday stock market crash of 1987. Although the Dow recovered quickly, the Manager, Pennsylvania Avenue Funds
incident has refocused attention on the role that algorithmic trading plays in the stability
of financial markets. Michael Crockett, Former Senior Trader,
Brazos Capital Management
The incident comes amid a resurgence in algorithmic trading volumes but an increasingly Garrett Nenner, CEO, Business Services,
uncertain regulatory environment. At the time of writing (May 14th), the embryonic TTC LLC
financial reform bill contained at least 60 specific regulatory changes, which will
inevitably have far reaching consequences for the structure of the capital markets and the Elliot Noma, Managing Director, Garrett
algorithmic trading landscape. Dark liquidity, naked access, flash orders, order Asset Management
cancellation fees – almost every feature of the 21st century trading landscape is being re- Joseph Engelhard, Senior Vice President,
imagined within the halls of power. Capital Alpha Partners
How should buyside traders prepare for this shift? How will algorithms need to be re- Mohamed Ayach, Information Technology
programmed in order to make sense of the new environment? What new technological Officer, Orbimed Advisors
developments are on the horizon that will further disrupt the electronic trading landscape? Ellen Lee, VP, Policy & Regulatory Risk,
TD Asset Management
Taking place in New York City from August 25th – 27th, the Algorithmic Trading
Strategies Summit addresses this need for detailed, impartial insights into the future of Jeff Parent, Head of Wealth Management
the algorithmic trading space. Unlike other conferences, which tend to be asset-specific, and Associate Portfolio Manager, Quadrexx
the summit looks at algorithmic trading strategies across the asset class spectrum, Asset Management
providing comprehensive insights for hedge funds, asset management firms, and the Vikas Parikh, IT Director - Trading Operations
proprietary trading desks of investment banks. & VMO, GE Asset Management
Take a few minutes to read through the agenda and then make the decision to attend Alison Graham, Chief Investment Officer,
this unmissable conference. Voltan Capital Management
Marc Groz, Managing Director, Head of
I look forward to meeting you in sunny New York this August! Corporate Development, SPM LLC
William Kenney, CEO, Knox Capital
Management
Adam Honore, Senior Analyst, Aite Group

Toby Donovan Stephen Malloy, CEO, Tunnelbrook Capital

Director, Finance Conferences Jonathan Kanterman, Managing Director,
IQPC Stillwater Capital

Media Partners

www.AlgoTradingSummit.com 2

Industry-Leading Keynote Speakers
“A Regulatory Perspective on 21st Century Equity Trading”
Dr Chester Spatt, Pamela R. and Kenneth B. Dunn Professor of Finance, Carnegie Mellon
University; Former Chief Economist, SEC
“The Future of Global Market Structure”
Dr Robert Barnes, Managing Director, Equities, UBS & CEO UBS MTF
Summit Attendee Breakdown
■ 45% Buyside ■ 15% Exchange / MTF
■ 25% Sellside ■ 15% Technology Provider
Pre-Conference Workshop
August 25th 2010
Structuring Your HFT Spending Priorities: Intelligent Solutions For Determining What To Buy, And
A
9:00 AM –
When To Buy It
For fund managers new to the HFT business, working out what to
do first in developing a high performance trading capability can
12:00 PM seem like a daunting task. Ben VanVliet’s interactive workshop will
deliver practical insights on the topic, walking prospective HFT
traders through the decisions they’ll need to make in terms of
connectivity, hardware, speciality trading systems and destination
execution venues. Specific focus areas include:
• Cutting through the hype: Achieving clarity on the functional
requirements of your HFT infrastructure
• Understanding when to buy and when to build, and when each
is more expensive
• Scalability on a shoe-string: Economical options for ensuring
your systems stand the test of time
• Making the most of the technology you already have
Ben VanVliet, Author, “Building Automated Trading
Systems” & “Quality Money Management”
Reducing Latency Within Your Trading Architecture: Configuring Enterprise-Wide Resources For
B
2:00 PM –
Lightning-Fast Response
As technology transforms more and more dimensions of the
trading landscape, the ability to trade faster than your competitors
5:00 PM – and exploit short-lived opportunities that may exist only for a
few fractions of a second – becomes more important than ever
before. Reducing latency in complex trading systems is therefore
emerging as the number one priority for technologists at leading
buyside firms and investment banks. In this in-depth workshop,
Adam Honore – Senior Analyst at AITE Group – will lead you on a
deep-dive journey into the major causes of latency within your
own trading system, helping you improve performance without
dramatic spending increases.
www.AlgoTradingSummit.com
August 25 - 27 2010
New York City
Topics Under Discussion
Include:
• Changes to global market structure and the
implications for algorithmic trading
• Electronic trading and financial reform
• The future of machine-readable news data
• Quantitative approaches to portfolio
construction
• Algorithmic trading strategies for FX,
commodities, and options
• The future of the latency battle
Ben Van Vliet is a Lecturer at the Illinois Institute of Technology's
Stuart School of Business (IIT), where he also serves as the
Associate Director of the M.S. Finance program. At IIT he teaches
courses in quantitative finance, C++ and .NET programming, and
automated trading system design and development. He serves also
as series editor of the Financial Markets Technology series for
Elsevier/Academic Press. Mr. Van Vliet consults extensively in the
financial markets industry, primarily on topics related to the
mathematics, technology and management of trading systems. Mr.
Van Vliet is the author of three books on trading/investment:?
Quality Money Management with Andrew Kumiega, Modeling
Financial Markets with Robert Hendry, Building Automated Trading
Systems. Additionally, he has published several articles in the areas
of finance and technology, and presented at several academic and
professional conferences.
Specific Focus Areas:
• Approaching complex legacy situations with a view to reducing
latency: How can you determine where latency is located?
• Getting to the bottom of the latency puzzle without disrupting
day-to-day systems and processes
• Examining the very latest strategies for reducing latency right
across your trading architecture, including:
• Latency reduction in compute- and data-grids
• Latency reduction in service-oriented architecture (SOA)
• Latency reduction in virtualised application environments
• Understanding the most effective investment areas for reducing
latency right across the enterprise
• Latency trouble-shooting surgery: Getting to grips with your
most pressing issues
Adam Honore, Senior Analyst, Aite Group
3
Main Conference Day 1
August 26th 2010

7.30 Coffee & Registration • Do volatile markets create the need to protect Beta first and
capture Alpha second?
8.30 Chairman’s Opening Remarks • Which securities can be used to implement quantitative
portfolio management strategies (this will provide a nice segue
8.45 Keynote Address: The Future of Global Market into the follow-up panel discussion)
Structure: Equities, HFT & Algorithmic Trading Kevin Mahn, Chief Investment Officer, Hennion & Walsh
• The macro view: insights and opportunities Asset Management
• Liquidity, fragmentation and dark pools
• CCP 'User choice', PnL benefits 2.15 Panel: Delivering a High-Performance
Dr Robert Barnes, Managing Director, Equities, UBS Algorithmic Trading Infrastructure: Making the
& CEO UBS MTF Decision on Whether to Build or Buy
• Determining what sort of trader you are, and what kind of
9.30 Panel: Navigating the Fragmented Liquidity trading you intend to do
Environment: Using Next Generation Smart • Understanding what’s involved with developing your own
Order Routing and “Meta-Algorithms” to Bring trading infrastructure:
Sense to a Complex Market Structure • Hardware and software requirements
• Examining the dual complexity of today’s execution environment: • Start-up obstacles
multiplicity of liquidity sources and multiplicity of broker algorithms • Risk management techniques
• Leveraging unbiased performance data to rank broker • Making the comparison with off-the-shelf black box products
algorithms according to security and order type Elliot Noma, Managing Director, Garrett Asset Management
• Combining allocations to broker algorithms with allocations to Vikas Parikh, IT Director - Trading Operations & VMO, GE
buyside crossing networks Asset Management
• Allocating orders in real-time according to broker algorithm
ranking, in order to maximize the chances of best execution 3.00 Panel: Algos Gone Wild: Could a Rogue
Dr Robert Barnes, Managing Director, Equities, UBS Algorithm Bring Down the Market?
& CEO UBS MTF • Examining the circumstances and consequences of past
Michael Crockett, Former Senior Trader, Brazos Capital algorithmic trading errors
Management • Comparing the frequency and severity of errors made by
Stephen Malloy, CEO, Tunnelbrook Capital humans with errors made by algos
• Evaluating the effectiveness of risk management tools designed
10.15 Networking Break to mitigate the possible impact of a rogue algorithm
• Identifying the most significant weakness in algorithmic risk
11.00 Panel: The Next Generation of Algorithmic management strategies
Trading: Forecasting the Impact of Technology Jeff Parent, Head of Wealth Management and Associate
on the Future of the Buyside Trading Desk Portfolio Manager, Quadrexx Asset Management
• Increasing the sophistication of limit-order models Alison Graham, Chief Investment Officer, Voltan Capital
• Driving symbol-specific trading decisions through historical and Management
real-time analytics
• Enhancing visibility and diagnostics of parent orders and child 3.30 Afternoon Networking & Refreshment Break
orders
• Using advanced modeling and order placement logic to 4.00 Interactive Roundtable Discussions
identify when and where to trade After an insightful day full of case studies, panels, and
William Kenney, CEO, Knox Capital Management presentations, this is your opportunity to debate your most critical
Stephen Malloy, CEO, Tunnelbrook Capital algorithmic trading issues within intimate groups of your peers.
Jonathan Kanterman, Managing Director, Stillwater Capital Brainstorm solutions, make important new contacts and ask the
questions you really need answers to. Places are limited to 12
11.45 Guest Keynote Address: “Programmable delegates on each table, so make sure you register well in
Financial Instruments” advance to be sure of your first choice. Roundtables will take
• From programs that trade financial instrument into programmed place on the following key topics:
financial instruments: the new paradigm in algorithmic trading • Real-Time Transaction Cost Analysis: Controling Buyside
• Building risk controls into financial instruments Transaction Costs
• Tamper resistant financial instruments: Embedding security • Algorithmic Trading of Commodities
controls to create instruments that can’t be stolen Utilizing Automatic Strategies to Exploit Market
Marc Groz, Managing Director, Head of Corporate Inefficiencies
Development, SPM LLC • Trading the News
Machine Readable News Data for High Impact Algo
12.30 Networking Luncheon Trading Decisions
• Algorithmic Trading for Derivatives and Structured
1.30 Keynote Address: Quantitative Approaches to Products
Portfolio Construction: Leveraging Algorithmic • Risk Management for Algo-Trading
Technology to Optimize the Portfolio Design • Structuring Your Spending Priorities
Process
• Did diversification fail in 2008 and early 2009? 5.00 End of Main Conference Day 1
• Is Modern Portfolio Theory now Outdated?

www.AlgoTradingSummit.com 4
Main Conference Day 2
August 27th 2010
7.30 Coffee & Registration
8.30 Chairman’s Opening Remarks
8.45 Regulatory Keynote Address: Equity Trading in
the 21st Century:
• Financial innovation and the changing understanding of what’s
“in the public interest”
• Flash orders, dark liquidity, and naked access: How the new
trading landscape is being interpreted within the halls of power
• Perspectives on the future relationship between technological
innovation and regulatory change
Dr Chester Spatt, Pamela R. and Kenneth B. Dunn Professor
of Finance, Carnegie Mellon University; Former Chief
Economist, SEC
9.30 Electronic Trading and Financial Reform: What
New and Upcoming Regulatory Changes Mean
for the Future of Your Desk
• A closer look at the recent activity of the SEC, CFTC, and
Congress
•
Understanding what’s on the cards: How new regulations will
impact traders in general and algorithmic trading in particular
• An update on the regulatory consensus around naked access,
pre-trade analytics, order cancellation fees and electronic
trading of derivatives
• Examining the impact of regulatory changes on your choice of
technology platform
Joseph Engelhard, Senior Vice President, Capital Alpha
Partners
Garrett Nenner, CEO, Business Services, TTC LLC
Ellen Lee, VP, Policy & Regulatory Risk, TD Asset
Management
Thomas Kirchner, President & Portfolio Manager,
Pennsylvania Avenue Funds
10.15 How Dark is Dark Enough? Forecasting the
Impact of New Transparency Initiatives on the
Effectiveness of Dark Pools and the Algorithms
that Access Them
•
Examining the validity of the SEC’s concerns surrounding
inadequate post-trade transparency
• Evaluating the effectiveness of market-based responses to the
transparency issue, such as the voluntary reporting of
execution activity to NYSE’s central Trade Reporting Facility
a t that day
“…the crisis appears to have been an aberration rather than
point, though. Market participants haven’t lost faith in
turning
p
the power of technology. Indeed, the competition to develo
newer, faster, more discreet means of market access has only
intensified over the past year.”
Institutional Investor, November 2009
www.AlgoTradingSummit.com
• Understanding the impact of existing and proposed
transparency changes on the algorithms that access dark pools
of liquidity
• Where financial regulation is headed and how dark pools will
be affected
Mohamed Ayach, Information Technology Officer, Orbimed
Advisors
Michael Crockett, Former Senior Trader, Brazos Capital
Management
Jonathan Kanterman, Managing Director, Stillwater Capital
11.00 Morning Coffee & Networking Break
11.30 Trading Strategies for Less Liquid Markets:
Using Algorithms Effectively for Small Caps,
Micro-Caps, and Emerging Market Equities
• Understanding the differences in price behavior between large
caps, small caps and micro caps
•
Examining some of the dangers of using conventional
algorithmic trading strategies in less liquid markets
• Identifying the risk management tools that can be used to
reduce market impact in smaller cap stocks
Jeff Parent, Head of Wealth Management and Associate
Portfolio Manager, Quadrexx Asset Management
Alison Graham, Chief Investment Officer, Voltan Capital
Management
12.15 Milliseconds, Microseconds… Nanoseconds?
The Strange Future of the Latency Battle
• Examining the major causes of latency in today’s infrastructures
– to what extent can we expect these to change in
forthcoming years?
• Forecasting the impact of future datacaching and hardware
acceleration technologies on the latency margin
• Will we ever reach a point where the cost of upgrading low-
latency trading technology outweighs the benefit?
• Understanding the regulatory implications of ultra-low latency
trading
Marc Groz, Managing Director, Head of Corporate
Development, SPM LLC
Vikas Parikh, IT Director - Trading Operations & VMO, GE
Asset Management
Adam Honore, Senior Analyst, Aite Group
1:00 Lunch & End of Conference
“After the brief 1,000-point plunge in the stock marke
[May 6th], the growing role of high-frequency trader
s in the nation’s
financial markets is drawing new scrutiny.
“Over the last decade, these high-tech operators
have become sort
of a shadow Wall Street — from New Jersey to Kansa
s City, from
Texas to Chicago. Depending on whose estimates
frequency traders account for 40 to 70 percent of
you believe, high-
all trading on
every stock market in the country.”
New York Times, May 2010
5
 presents a training conference:

August 25 - 27 2010 | New York City

REGISTRATION FORM 5 EASY WAYS TO REGISTER!

1 Website:
www.AlgoTrading
2 Email:
info@iqpc.com
3 Phone:
1-800-882-8684
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5 Mail:
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10017

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Insider’s All- Access $1,699 (save $1198) N/A N/A
Workshop Only $449 each $449 each $449 ea

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