Christopher D. Clack

Financial Computing

Coordinator, PROFIT European Research Network in Financial Computing (UCL, Athens, Moscow State, Warsaw, Sofia, Prague, Deutsche Bank, Reuters, Global Consulting)

Director, MSc Financial Computing (UCL, Credit Suisse, Goldman Sachs, Merrill Lynch, Morgan Stanley, Reuters)

Head, Financial Computing and Quantitative Finance Programme at UCL (Computer Science, Statistics, Economics, Mathematics)

I am currently leading the expansion of Financial Computing at UCL and internationally, bringing together key disciplines such as Computer Science, Mathematics and Finance. A core principle of this new initiative is to engage the financial services industry in driving a large part of the research and training agenda; including the buy and sell sides of the capital markets, both of which have increasing IT infrastructure and pose considerable research challenges.

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
Antonio Guarino (Econ)	Khalid Alabed	Carl Aranjo
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
Goldman Sachs	Deutsche Bank	Banque Safra
Merrill Lynch	Barclays	SIAM Capital Management
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

Christopher D. Clack