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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...

Research maps

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Research library

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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

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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