Financial Computing News
| UCL Computer Scientist honoured (24/10/09). "UCL-CS Financial Computing Director Christopher Clack has been awarded a Doctor of Science degree from the University of Cambridge. The university's highest degree is conferred on scientists with a proven record of internationally recognised scholarship." Follow this link for the UCL-CS news item and this link for the UCL news item. |
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| Launch of the Financial Services Knowledge Transfer Network (20/10/09). "UCL-CS Financial Computing Director Christopher Clack has set up a new UK Knowledge Transfer Network (KTN) for Financial Services". Follow this link for the UCL-CS news item and this link for the UCL news item. |
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| Virtual trading floor open to media (24/9/09). "UCL's virtual trading floor - a virtual trading facility giving students the opportunity to experience real-time streaming market data and business news - will be open to journalists wishing to see the floor in action on Thursday 24th September from 2.30-4pm." Follow this link for UCL's news item including video footage of the floor in action. |
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| UCL's MSc Financial Computing nominated as finalist for LDA's Commercial Deal of the Year Award (18/11/08)
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| Virtual Trading Floor partner wins UCL Enterprise Partner of the Year Award (1/5/08). "On Thursday 1st May 2008, at UCL's inaugural Enterprise Awards Presentation, Thomson Reuters was awarded the UCL Enterprise Partner of the Year Award 2008 for their collaboration with UCL to set up the new Virtual Trading Floor for the MSc Financial Computing degree. Follow this link for a video (large file). |
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| Virtual trading floor opened (20/11/07). "A virtual trading floor, opened today with the support of Reuters and four leading investment banks, will help ensure that London continues to train the talent it needs to maintain its position as a world-leading financial centre." Follow this link for the UCL news item. and the following links for UCL in the News: [1] [2] [3]. |
The Team
The Financial Computing Team at UCL comprises academic staff, researchers, students and industry partners:
Christopher D. Clack |
Donald Lawrence | Yun Huang |
Faisal Muhammed |
Philip Treleaven |
Wei Yan |
Theodore Chiotis |
Harjinder Bagria |
Wolfgang Emmerich |
Ghada Hassan |
Amy Willis |
Jonathan Duke |
David Rosenblum |
Giuseppi Nuti |
Suneer Patel |
Nick Watson |
Denise Gorse |
Samet Gogus |
Sunpreet Grewal |
Yaning Liu |
| Dieter Girmes (Stats) | Chih-Chun Chen |
Ali Adeli |
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| Antonio Guarino (Econ) | Khalid Alabed |
Carl Aranjo |
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| Bruce Weber (LBS) | Navaneeta Dutta |
Jignesh Halai |
Funding and Support for Financial Computing
I am grateful to the following organisations for their support of teaching and research in Financial Computing at UCL:
Credit Suisse |
Citigroup |
Hewlett Packard |
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Goldman Sachs |
Deutsche Bank |
Banque Safra |
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Merrill Lynch |
Barclays |
SIAM Capital Management |
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Morgan Stanley |
Reuters |
Prospect Wealth Management |
Intelligent Systems
Intelligent Systems research addresses problems where analytic programmed solutions are either very difficult or impossible to achieve. Often the difficulty arises from the scale of the problem domain, where the search space of possible solutions is so large that 'brute force' methods such as exhaustive search are not practicable. Alternatively, the problem may not be amenable to analysis. My research focus is on Genetic Algorithms (GA), Genetic Programming (GP) and Agent-Based Simulation (ABS), using real-world problems (and real-world data) in situations where the solution must be both adaptive and robust in the presence of a dynamic and unpredictable environment.
My research and consultancy interests in Financial Computing include:
- Non-linear, non-parametric factor models for investment portfolio optimisation
- Non-parametric options pricing
- Agent-based simulation of hedging pressure in futures markets, modelling and detecting complex events
- Linkage analysis in financial time series analysis
- High-performance VAR calculations
- Payment and Settlement systems
- Appointed as external consultant for the Clearstream settlement system (architecture & algorithms)
- Used functional languages to prototype object-oriented settlement applications
- Appointed as external consultant for the Lloyds-TSB straight-through payments system (architecture & algorithms)
- Founding CEO and designer of a radical new settlement algorithm for The Settlement Solutions Company Limited
- Specialist algorithm and architecture review, challenge and design.
- Currently developing interests in: intelligent CDO pricing and high-frequency trading