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TradeTech2009 Industry Leading Workshop

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Thought Leadership in Trading Technology

Advancing Collaboration Between Industry and Academia and Exploring Innovation Challenges In The Next Five Years

Introduction - Speakers - Issues - Plan of Action - Call for Feedback

Introduction

By popular demand after a very successful launch at Trade Tech 2008, Dave Cliff organised another interactive and insightful Thought-Leadership Workshop at Trade Tech 2009.  Speakers included leading representatives from technology-based equity trading, industry analysts, academic innovators, and research funders.  The workshop explored how academia and industry can best capitalize on current and forthcoming innovations, and brought together a leading group of market participants to debate this.

 

Speakers

Christopher D. Clack Director of Financial Computing at UCL and CEO of the Centre for Financial Computing
Dave Cliff Professor of Computing at Bristol University and  Director of the Large Scale Complex IT Systems National Research & Training Initiative
Mike Giles Professor of Scientific Computing at Oxford University
John Hand Head of the $150m "Digital Economy" UK funding programme at EPSRC
Marcus Hooper Executive Director, Europe at Pipeline Financial Group
Kevin Houston Chairman of Rapid Addition and Co-Chair of the FIX Protocol Global Technical Committee
Nick Jennings Professor of Computer Science at Southampton University
Richard Semark Managing Director, Equities at UBS

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Issues

Some of the issues raised during the workshop were:

  • inter-core contention in many-core architectures where there are more than 10 cores, and the need for improved tools for meaningful parallel processing on these novel architectures (Kevin Houston)
  • latency in the network stack being an order of magnitude bigger than in processing (e.g. 100 vs 10 microseconds) (Kevin Houston)
  • communications overhead of moving data to very fast external hardware can outweigh the time advantages of using that hardware (Kevin Houston)
  • how can industry make more efficient use of consultants? (Kevin Houston)
  • the need for a better characterisation of the joint probability distribution of equity portfolios (Richard Semark)
  • the need for better analysis of market impact in auctions (Richard Semark)
  • the need to develop methods of portfolio constuction that are not mean-variance based (Richard Semark)
  • the problem of regulators preventing the development of partly-lit books (Richard Semark)
  • the need for more thought-leadership in (i) standardised processes, (ii) independent views (because of lack of trust), (iii) independent analysis that can be explained to the "lay public" (Richard Semark)
  • the need for an agreed set of straightforward core data about the markets (Richard Semark)
  • the need for improved (i.e. standardized, independent) Transaction Cost Analysis (Richard Semark)
  • the need for a standard method for analysing buy-side trading desks (Richard Semark)
  • whether the EPSRC would be willing to fund 2/3 of the cost of a "members club" for pre-competitive research, with members having exclusive access to results? (Dave Cliff)
  • whether "standards" really benefit industry, since many standards are thought to be devised by academics in terms that strive for academic credibility rather than in terms that are understandable by industry (Kevin Houston)
  • the need for a "common timestamp" - i.e. the synchronisation of clocks in all the different execution venues, because at the moment the timestamps from ChiX, LSE etc are incomparable (Kevin Houston)
  • the need for a "consolidated tape", combining transaction data from all execution venues with synchronised timestamps, to support transaction cost analysis (TCA) - there needs to be a review of the hurdles to be jumped before we can do effective TCA (Ricard Semark)
  • the need to resolve the problem of order fragmentation, as the original client's order moves along the human chain (Marcus Hooper)
  • the need to resolve the problem of price formation - especially issues relating to order-driven markets and increased volatility (Marcus Hooper)
  • whether the above mentioned problem of price formation could be modelled using game theory so that properties could be studied e.g. whether a Nash equilibrium exists? (Christopher Clack)

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Plan of Action

The workshop attracted a large audience, with many dropping-by and staying to the end, at which point there was a general discussion of what to do next. Many in the room had attended last year's workshop and were eager for action - the feeling in the room was that waiting a year for the next meeting would be too long, and another meeting should be held soon, and probably in London. Additional people will be invited - specifically, we would like to see more scientists.

The follow-on meeting is now scheduled for January 20th 2010, to be held in central London.  Please save this date in your diaries.  For more information see this link or email This e-mail address is being protected from spambots. You need JavaScript enabled to view it

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