Automated Trader Magazine Issue 25 Q2 2012
Something that frequently crops up in conversations with readers (especially those on the buyside) is how best to manage change and the unexpected. (Which is hardly surprising given the nature of the business we’re in.) Sometimes the challenge is small-scale, such as how best to tweak one parameter in a trading model, while at other times it involves a much larger transformation.
For a great example of how to manage this latter type of change successfully, turn to page 26. There you’ll find an account of how Richard Franklin and Chris Mellen, respectively CEO and Head of Research at Boronia Capital, managed the automation of the firm’s existing core long volatility strategy across multiple markets and timeframes. And how they also introduced and automated a portfolio of non-core models in order to further improve risk adjusted returns.
Another organisation that seems to come with change management wired in is Bloomberg, as emerged in my conversation with the company’s Chief Technology Officer, Shawn Edwards on page 46. Among many other things, Shawn talks in detail about getting the best out of people and technology and identifying the value in IT trends.
For a tale of managing the unexpected (as in black swans and chaotic butterflies) flick to page 18, where Anita Hawser takes a look at how CEP technology can now deliver value across multiple aspects of the trading process. If, on the other hand, you’re looking for a classic example of how to turn a change challenge into an opportunity, go to page 58. There you can read about how the switch
to centralised clearing of OTC instruments caused Christian Martin and his colleagues Lennie Nuara and Daniel Droste to found TeraExchange.
If you’re looking for an antidote to all this change talk, take a look at page 67 where you’ll find the Wrecking Crew doing what they’ve always done – trying to break something. In this case it’s RTS’s RTD Tango QUANT application, and much to their disappointment they didn’t succeed...
Finally, we’ve been doing some change management of our own at Automated Trader this issue. Firstly, we welcome newcomer James Fitzgerald to the team, who has been getting to grips with FPGAs on page 40. There’s also been a change at the helm with the arrival of a new editor, in the form of industry veteran Adam Cox. He didn’t quite get up the gang plank in time to edit this issue, but we’re all looking forward to Q3. We’d also like to thank William Essex for his efforts as editor over the past four years and wish him all the best for the future.
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- Brazil - The Challenges of DMA and Risk ManagementAs the Brazilian economic freight train gathers momentum, Timo Pentner - Managing Director Americas, at RTS Realtime Systems, explains why the market's demand for ultra-low latency DMA access and the regulators requirements for rigorous risk control don't have to be mutually exclusive.
- Swan Luck?Chaos theory dictates that when a butterfly flaps its wings in China, a volcano erupts in Iceland. Or something like that. Luckily, we have the technology to handle chaos. As every school-age maths prodigy knows, Complex Event Processing (CEP) technology has been evolving in recent years, just in time to handle today's alpha-rich array of post-crash complexities. It's that simple... or is it? Anita Hawser investigates.
- The Automated Trader Interview"There was no budget constraint, just a goal," says Richard Franklin, CEO of Boronia Capital, summarising his brief to start with a 'clean slate' and deliver a fully automated and co-located trading operation. How often do you get to say that, and how often do you achieve such a goal - as Richard Franklin did without significant disruption, while maintaining a significant alpha generating outcome, and within a few years? Andy Webb went to meet Richard Franklin and Boronia Capital's head of research, Chris Mellen.
- European Dark Pools: Quality, Control and ChangeWhile the demand for non-displayed liquidity in Europe remains strong and the growth of European dark pools continues, there are pools and then there are pools. The quality of liquidity in a dark pool depends not only on the participants, but also on the quality control the dark pool operator is able to exert. Moreover, as Christian Hesse, Senior Quantitative Strategist for Autobahn Equity Algorithmic Trading at Deutsche Bank explains, there is the issue of pending regulatory change to consider.
- How CPUseful is that?If it's field-programmable, it's more flexible than an ASIC. And if it's a post-crash, over-regulated, potentially lucrative but problematic market, it's going to take all the flexibility you can find (and probably more) to build an effective alpha-extracting solution for trading it. James Fitzgerald debates the contemporary case for FPGAs.
- The importance of being agileShawn Edwards is Chief Technology Officer at Bloomberg. The job involves overseeing the development and implementation of Bloomberg's global technology strategy, working with customers on their technology strategies, recruiting and getting the best out of Bloomberg's development teams, finding the value in IT trends and developing ideas. In this exclusive interview, Shawn talks to Andy Webb about the thinking underlying Bloomberg's attitude towards technology development.
- Latest News on the NewsWhile machine readable news has been around for a few years now, many solutions have been rather modest in terms of their geography, depth/uniqueness of content and potential user base. However, as Georg Gross, Head of Front Office Data & Analytics at Deutsche Börse explains, that's now all changing for the better.
- TeraExchange: On The CaseWhat do you do if you're an OTC trader and you hear that your market will have to move to centralised clearing? Moan? Bury your head in the sand? Not if you're Christian Martin, instead you immediately set about founding a marketplace for OTC products with links to multiple CCPs. Andy Webb talks to the CEO of TeraExchange just a few days before its "go live" date about the democratisation of the OTC world.
- Plumbing or Trading: The financial technology mazeAs traders find themselves exploring new markets, time-frames, data types and geographies in search of alpha, an important question arises. Do they want to manage the integration and maintenance of all these variables, or just trade? Mark Pesonen, CEO, Enterprise Products & Solutions at Bloomberg explains why the latter is the right answer, and also how it can be accomplished.
- Seizing Value in FinancialsEuropean banking shares have hardly been flavour of the month for quite a while, but this doesn't necessarily make them any easier to acquire if the order is for a high percentage of average daily volume. David Franklin, Director - Electronic Execution at ING, shows how it can be done by using a combination of a VWAP and opportunistic algo.
- Little - the new BigBig Europe, little data, and would you like to help yourself to a canapé?