Center for Innovative
Financial Technology
Events
Swimming in Dark Pools, is it safe?
The Advantages/Disadvantages of trading in dark pools
Tuesday, November 10, 2009
5:30 - 6:30 PM, 330 Cheit Hall, Haas School
Roderick Burns, Director Western Region
Credit Suisse Advanced Execution Services
The SEC has proposed material changes to Reg ATS, which governs dark book structure and executions. Attendees will learn the current market structure and how dark pools are utilized in the institutional trading world. Attendees will look at specific trades and determine the value of dark pool executions for themselves.
I. Introduction - Discuss background
II. Market Structure Overview - Dark books and Market Fragmentation - Regulatory environment
III. Dark Pools—Executions - Performance definitions - Gaming examples - Venue analysis - Factor analysis & pattern recognition
Rod Burns is a Director with Credit Suisse Advanced Execution Services (AES), and is responsible for the Western Region. In marketing direct market access and algorithms, Rod and the West Coast team focus on market microstructure research, pre/post trade analysis and liquidity profiles of individual names and markets. Rod was previously National Director of Electronic Sales for Knight Capital Group, where he has responsible for Knight Direct and EdgeTrade algorithmic sales. Rod also managed their Knight's Account Origination efforts for their Institututional Sales Trading desk. Rod was also Head of Sales for Direct Trading Institutional, Inc prior to its acquisition by Knight. Rod has experience developing and marketing multi-asset class products ranging from equities, options and futures. Rod has also worked on the buyside for a global money manager. The AES group designs and builds algorithms and systems capable of fully-automated trading based on client specifications. Algorithms based on thorough execution research and continuous live experimentation, performed by teams of Credit Suisse quantitative analysts and traders located throughout the globe.
What's Wrong with Hedge Funds?
Tuesday, November 17, 2009
5:30 - 6:30 PM, 330 Cheit Hall, Haas School
Lee Levy, Canid Asset Management
This talk will cover the intersection of Finance and Computer Science, but with an emphasis on behavioral finance and how the efficiency of computers eliminates the behavioral errors most traditional investors are prone to making. I'll discuss why most equity fund managers under perform their benchmarks, is indexing the best investment route? (the answer is no), the challenges to the HFT business model and the positive impact of computer science on finance.
Lee Levy manages Canid Asset Management, a systematic value long/short equity hedge fund based in Palo Alto, CA. After 16 years of senior risk management, market making and trading positions at multi-billion dollar hedge funds and investment banks, Mr. Levy launched CAM in January 2009. CAM's goal is to minimize losses and volatility while achieving superior absolute and risk adjusted returns. CAM's systematic approach to fundamental value investing uses the productivity of computers to achieve superior returns while avoiding the behavioral errors most traditional fund managers are prone to making. In short, CAM provides superior returns without causing their investors heartburn.
Technology and the Great Mess of ’08
Wednesday, Sept. 23, 2009
6:00 - 7:30 pm, Soda Hall 306
David Leinweber, Author of "Nerds on Wall Street"
Haas Fellow in Finance
The financial crisis of 2008 is one of the great technological disasters in history. None of this would have been possible without computers. Who is to blame for the interconnected structure for disaster that came so close to taking the global economy with it when it crashed? What should we be doing to avoid a dreadful encore performance?
Part IV of Nerds on Wall Street sorted out the key technological issues that caused so much damage: a lack of transparency in markets for what we now call “toxic assets”, which led to pricing by models instead of by markets. Models that proved toxically flawed, applied so recklessly, they nearly broke capitalism. This talk brings this discussion up to date. Are current proposals based on the right information and data? Are modelers learning that the models aren’t the markets? Can we achieve safe markets without stifling innovation?
Fourth Level BLAS for High Performance Pricing
Tuesday, Sept. 29, 2009
6:00-7:30pm, Soda Hall 306
Claudio Albanese, Visiting Professor of Mathematical Finance, LUISS University, Rome; Independent Consultant
We propose a fourth level ring of BLAS primitives predicated on tensors, i.e. arrays of full matrices and/or vectors and tailored to massively parallel multi-core architectures. Using operator methods, all tasks in Derivative Pricing Theory can be reduced to this handful of routines, including backward induction, forward induction and term structure fitting, Monte Carlo scenario generation and calibration. High performance CUDA implementations for the two key routines SGEMM4 and SGEMV4, the fourth level extensions of standard matrix-matrix and matrix-vector multiplication routines extend the Demmel-Volkov algorithm for SGEMM. A full-fledged scenario generation application for financial derivatives to be released under GPL is also discussed, along with novel mathematical techniques enabled by kernel methods such as explicit valuation of Radon-Nykodim derivatives. We describe a new global optimization algorithm that proved useful for global calibration against large derivatives baskets on multi-GPU equipment. Finally, we discuss mathematical and empirical results regarding single precision robustness.
Past Events
CIFT Overview and Data Resources
Tues Apr 7, Haas - Anderson Auditorium, 5-7pm
The Center for Innovative Financial Technology is a new resource for students, staff and faculty. CIFT is sponsored by major financial data and technology firms. These firms have provided tools, services, and data that can be used for research, projects or any educational purpose.
This information session provides an overview of the Center by founding director David Leinweber, and a presentation on the resources provided by our largest sponsor, Thomson Reuters, the world's largest financial information company.
Evan Schulman, Mar 24, 9-11am, Haas Berkeley - S480, widely credited as the 'father of program trading', E. Schulman founded the company Tykhe, and will be discussing the introduction of Sales Certificates, a new security. See slides here
TradeTech USA, Equity Trading Summit, March 2-4, 2009
Bill Aronin, Thomson Reuters, Nov 13, 2-3, Berkeley, CA
Money:Tech 2009, Feb 4-6, New York NY, John O'Brien and Dave Leinweber
Fidelity Investments, Applied Technology Center, Boston, July 8, 2008, "Artificial Intelligence and Intelligence Amplication in Investment Research", D. Leinweber
Research Board, Chicago, "Business Intelligence and Search 2.0", June 18, D. Leinweber
Google NY, May 5 "If you had everything computationally, where would you put it financially? Search 2.0 for Finance", D. Leinweber (Watch Google TechTalk Here)
SIFMA Market Structure Conference, NY; May 9, 2008.
The leading industry conference addressing the new regulatory, business and structural changes transforming the securities markets.
Money:Tech, NY; Feb 7, 2008, "If you had everything computationally, where would you put it, financially?"
David Leinweber
(See presentations)
