UK PhD Centre for Financial Computing
Prof. Philip Treleaven
Department of Computer Science University College London Gower Street London WC1E 6BT T: 0207679 7288 E: [email protected]
Presentation
New UK PhD Centre for Financial Computing
Good news - major interest and activity in the banks in
high-performance computing.
Doctoral Training Centre overview
Computational Finance
Algorithmic Trading
Doctoral Training Centre
University College London (UCL) in collaboration with the London
School of Economics (LSE) and the London Business School (LBS)
and twenty leading financial institutions have been award £7m ($10m)
by the UK Government to establish a national PhD training centre in
financial computing.
Financial computing is defined as covering financial IT, computational
Financial computing is defined as covering financial IT, computational
finance and financial engineering:
This UK Government funding will allow us to start at least 10 UK/EU
PhD students each year for five years, plus additional industry-funded
and self-funded foreign PhD students.
DTC Background
The Research Councils are targeting Financial Services and Retail as
‘new collaborating industries’
Three previous initiatives have failed.
UCL Computer Science has very strong links with the major banks:
Undergraduate course (Goldman Sachs, Deutsche Bank, Reuters)
Masters Programme (Goldmans, Credit Suisse, Merrill Lynch, Morgan Stanley)
Stanley)
MSc Software Engineering group project with Citigroup
Research projects in Algorithmic trading, Risk … with various banks
Research projects with Hedge Funds
Virtual Trading Lab. with Thomson Reuters (Reuters 3000 Xtra)
DTC Background
The Research Councils are targeting Financial Services and Retail as
‘new collaborating industries’
Three previous initiatives have failed.
UCL Computer Science has very strong links with the major banks:
Undergraduate course (Goldman Sachs, Deutsche Bank, Reuters)
Masters Programme (Goldmans, Credit Suisse, Merrill Lynch, Morgan Stanley)
Stanley)
MSc Software Engineering group project with Citigroup
Research projects in Algorithmic trading, Risk … with various banks
Research projects with Hedge Funds
Virtual Trading Lab. with Thomson Reuters (Reuters 3000 Xtra)
New PhD Centre with 20 financial institutions
• We would like to facilitate links between UK banks and UK universities
PhD Programme
The PhD programme is four years with the student following a Masters
programme in the first year and then working on an applied research project with one of our financial industry partners during year's 2-4.
The Financial Services industry want PhD students who are ‘stellar’ in three areas: analytics, programming and finance.
Therefore each student will have a bespoke set of masters courses drawn
Therefore each student will have a bespoke set of masters courses drawn from UCL, LSE and LBS. Any department at the three institutions can
participate: Computer Science, Mathematics, Statistics, Physics, Economics, Finance …
Each PhD student will have an Academic Supervisor and an Industry Advisor.
Each student will be expected to undertake a significant period at one of our partner financial services companies, working with their Industry Advisor.
Financial IT
• Software Engineering
• Communications and Networks
• Human Computer Interface
Computational Finance
Financial Modelling
- the most general of the related terms, covers
computation of finance problems, such as option pricing, with the
central aim of modelling valuation under uncertainty.
Mathematical Finance
- is the branch of applied mathematics
concerned with the financial markets.
No exact definition
concerned with the financial markets.
Financial Engineering
– focuses on financial innovation, which aims to
produce new securities, specifically derivative for the options and
futures markets.
Computational Finance
– is a cross-disciplinary field that focuses on
the financial services industry and relies on mathematical finance,
numerical methods and computer simulations to make trading,
hedging and investment decisions, as well as facilitating the risk
management of those decisions.
Computational Statistics and Machine Learning
Artificial Intelligence:
Supervised Learning
- Regression Trees, Discriminant Function
Analysis.
Unsupervised Learning
- Neural Networks, Self-Organising Maps
(SOM), Principal Components Analysis.
Reinforcement Learning
- q-learning, temporal difference
learning, Neuro-dynamic programming.
learning, Neuro-dynamic programming.
Computational Statistics:
Probability Density Estimation
Parameter Estimation (Statistical Inference)
Electronic Trading
Electronic Trading – broadly electronic trading is any method of electronically
trading securities (stocks, bonds), foreign exchange (FX) and derivatives (options, futures).
Algorithmic trading is the use of computer programs to automate one or
more stages of the trading process: pre-trade analysis, trading signal,
trade decision and trade execution.
(options, futures).
Order Management Systems – an order management system is a
software-based platform that facilitates and manages the order execution of securities, typically through the Financial Information eXchange (FIX) protocol.
Program Trading – program trading is informally defined as the use of
computers in stock markets to engage in arbitrage and portfolio trading strategies.
Automated Trading – an automated trading systems (ATS) is a computer
High-Performance Computing
When signing up members for the DTC, the most common question was ‘are you doing any work on high-performance computing?’.
Multi-computer systems - multiple computers that work on the same task.
Grids – several computers to a single problem at the same time.
Clusters – group of linked computers, working closely together possibly linked by a local-area network.
local-area network.
MPPs - massive parallel processing (MPP) refers to a computer system with many
independent arithmetic units or entire microprocessors.
Multi-core processor (or chip-level multiprocessor, CMP) - combines two or
more independent cores (normally a CPU) into a single package composed of a single integrated circuit (IC), called a die, or more dies packaged together.
Accelerators - specialized parallel computer architectures are sometimes
used alongside traditional processors, for accelerating specific tasks.
Parallel Computing — multi-core and multi-processor computers having
HPC and Finance
The Financial Services Grid Initiative
Computationally intensive financial applications
Derivatives pricing
Portfolio management
