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Science

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Royal Society Hidden Wealth Report

From Dr James Wilsdon Director, Royal Society Science Policy Centre: I am pleased to announce the launch of the Society’s report Hidden wealth: the contribution of science to service sector innovation,...

Knowledge Exchange between Academics and the Business, Public and Third Sectors

A report issued by the Centre for Business Research (CBR) at the University of Cambridge There has been an increasing focus on the role that Universities can play in contributing to economic growth....

Artificial Immunology for computer viruses

With increased global interconnectivity, organizations must protect their systems from intrusion and computer-virus attacks. Current antivirus and network intrusion detection (ID) solutions can become...

Darwin, DNA & Financial Evolutionary Computing

Darwinian evolution is being used by computer scientists to provide solutions to a wide range of problems in finance, from non-linear factor models for stock-picking to adaptive load-balancing for dynamic...

Early stage R&D

A core objective for Res Novae is to roll out a range of resources and services to encourage and support early stage R&D. This includes support for blue-sky academic research and more focused research...

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Technology

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Thought Leadership in Trading Technology

Advancing Collaboration Between Industry & Academia and Exploring Innovation Challenges Thought Leadership in Trading Technology Workshop Venue: Holborn Bars, 138-142 Holborn,...

Easy CUDA integration

CuPP is a newly-developed C++ framework designed to ease integration of NVIDIA's GPGPU system CUDA into existing C++ applications [1]. "CuPP provides interfaces to reoccurring tasks that are easier...

Technology maps

Producers of financial services technology need in-depth knowledge of the global financial services "ecosystem" - that is, not only the potential clients but also the scientists who generate new technologies...

Technology events

On our events pages, Res Novae members can keep track of upcoming events such as technology conferences, exhibitions and workshops. Res Novae will also be holding its own events to bring together scientists,...

Science publications

Want to know what's going on in the world's research labs? Prefer to search covertly before approaching a research group with a view to collaboration? Or perhaps you just want to pick up some new ideas...

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Financial Services

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Focus Group Meeting on Systems Latency

Advancing Collaboration Between Industry & Academia and Exploring Innovation Challenges Thought Leadership Focus Group on Systems Latency Workshop...

Focus Group Meeting on Market Simulation

Advancing Collaboration Between Industry & Academia and Exploring Innovation Challenges Thought Leadership Focus Group on Market Simulation Workshop...

Focus Group Meeting on Historical Datasets

Advancing Collaboration Between Industry & Academia and Exploring Innovation Challenges Thought Leadership Focus Group on Historical Datasets Workshop Venue:...

What the Behavioural Sciences can teach us about Wholesale and Retail Financial Markets

A round-table discussion with Gulnar Muradoglu (Cass Business School), Werner DeBondt (DePaul University), William Forbes (Loughborough University Business School), Jose Manuel Varas (Cabot Financial)...

Financial Services Knowledge Transfer Network (KTN)

At an event to mark the launch of the new KTN on 20th October 2009, Sir Win Bischoff (Chairman of Lloyds Banking Group, above left) addressed some of the most senior and influential...

Dynamic SLAs for financial applications in the Cloud

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TradeTech2009 Industry Leading Workshop

Focus Group Meeting on Historical Datasets

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Advancing Collaboration Between Industry & Academia and Exploring Innovation Challenges

Thought Leadership Focus Group on Historical Datasets



Workshop Venue: Holborn Bars, 138-142 Holborn, London EC1N 2NQ


10 March 2010, 5:30pm - 7:30pm

Following the Thought Leadership in Trading technology workshop on the 20th January 2010, this will be the first meeting of the Historical Datasets focus group. Our aim is to produce a manifesto that will be presented at the Trade Tech conference in April.


Theme for this Focus Group


Key Observations:

Lack of access for scientists to data (often leads to using unrealistic or simulated data for verification of research.)

Data mining for market patterns and cluster analysis requires further research and development.

The industry uses clean data. However, accurate determination of best execution and accurate historical simulation both require the data that was actually available at the time – which is often “dirty”. Data that has been cross-referenced and corrected for missing and incorrect values is “clean” data. Yet both “dirty” and “clean” data need to be extensively marshalled and often normalized in order to render it suitable for analysis, simulation and data-mining. Cleaning and marshalling of data is a substantial and therefore expensive task.

A data cleansing service is offered by several vendors (including for example the Wombat – RMDS service). However, data marshalling is more difficult to provide as a service because required formats are task- dependent.

Developing a macro behavioural model for market impact is crucial as a means to inject strategy into simulation. In order to achieve this data regarding order books (not just prices) is required.

Key Questions:

What are the exact/key data sets required? For what purpose? With what structure?

Can we create a taxonomy of required datatsets for different purposes, including both industry and academic uses?

What do we want from a provider of benchmark datasets, and what are the obstacles to achieving this service? How could these obstacles be overcome and can we define a set of "next steps"?

Registration


We are grateful to our sponsors who have covered the costs of the room and refreshments.  We will ask two participants (selected at random) to take notes during the meeting, to avoid the need to employ a technical secretary.  As a result, this meeting is free of charge.

Please email Lucinda Kingswood ( This e-mail address is being protected from spambots. You need JavaScript enabled to view it ) if you are interested in this focus group meeting.