DAY ONE – Tuesday 1st November 2011

last modified: 31 October '11

08.50

Chairman's opening remarks

OVERCOMING SHRINKING ALPHA MARGINS IN A CROWDED SPACE

09.20

Chairman’s opening remarks

› Bob Giffords,

Banking and Technology Analyst, Consultant, United Kingdom

09.30

Keynote trader address: New approaches to finding hard-to-reach alpha: where should you be looking?

Assessing the value of enriching your models with factors beyond price data
Establishing the advantages of dynamic, flexible models
Determining new or modified trends from a more sophisticated approach to data analysis.

› Mr. Peter Nabicht,

Chief Technology Officer, Executive Vice President,, Allston Trading, United States

10.00

Keynote trader address: Revisiting current HFT practices and controversies

Supply/demand characteristics of liquidity and volatility
Front-running, cancellation rates, quote stuffing
Transaction tax and the economics of HFT
Social utility accusations

› Arzhang Kamarei,

Partner , Tradeworx, United States

10.30

Speed Networking

10.31

Morning refreshments and networking

EXPLOITING THE SHIFT FROM SOFTWARE TO HARDWARE INNOVATION

11.30

Panel Debate: do new hardware based trading solutions now offer greater scope for optimisation than traditional software technology?

Will hardware acceleration necessarily drive you to the next level of speed and optimisation?
Do hardware solutions give you the flexibility and agility to trade with interchangeable strategies? …
Quantifying the ROI of upgrading your hardware architecture: is it worth the required development time and maintenance effort?
What are the complexities of scaling out FPGA technology across multiple installations?
Have software solutions reached their performance limit or is there still room for improvement?

› Graeme Burnett,

CIO, Celeritas Markets, United Kingdom

› Mr David Surkov,

Founder, Egham Capital, United Kingdom

12.10

Diversifying your HFT business: outlining smarter, more intelligent strategies that prolong the life of your HFT organisation

Rethinking the ROI on technology upgrades and assessing the profit margins
Re-evaluating your business relationships and streamlining your strategic alliances
Distinguishing between the research and investment arm of your business: how can they work more closely?

› Dr Tobias Preis,

Founder and Managing Director, Artemis Capital Asset Management, Germany

12.30

How can a new emphasis on cutting-edge hardware be reconciled with existing software solutions?

Navigating the complexities of transferring your software algorithms onto hardware technology
Build or buy? Using commercial off-the-shelf hardware and software to re-factor algorithms for accelerated feed handling
Establishing how to amalgamate traditional software, CPUs and hardware accelerated appliances in a data centre
Combining your software and hardware appliances to read and write high frequency data

› Mr. Mark Holt,

Head of Systematic Implementation, BlueCrest Capital Management, United Kingdom

13.10

Networking lunch

RE-THINKING LATENCY AND ITS ROLE IN YOUR STRATEGY

14.20

Panel Debate: keeping up with the low latency arms race: how fast do you really need to be to be competitive?

Has the increasing cost of achieving lower latency trading made an ultra-high frequency strategy prohibitive for most organisations?
What are the risks and rewards of an ultra-high frequency strategy?
Is latency still the key driver of your strategy?
What alpha does ultra-low latency trading actually produce?
Is the winner-takes-all scenario really a sustainable model for the future of HFT?

› Rami Habib,

CEO, Algo Engineering, United Kingdom

› Daniel Riek,

CTO, Vincorex AG, Switzerland

› Mr. Mark Holt,

Head of Systematic Implementation, BlueCrest Capital Management, United Kingdom

15.00

Making OSS work for you: a practical view from the customer's point of view

Dispelling the myths that open source software has no cost
Analysing the commercial OSS ecosystem and it's categories of participants
Buy or build? - OSS as a third way
Active participation, the cornerstone of any successful Open Source strategy

› Daniel Riek,

CTO, Vincorex AG, Switzerland

15.30

Afternoon refreshments and networking

SOPHISTICATED MODELLING TECHNIQUES FOR HFT

16.00

How to adapt your algorithms for maximum optimisation through sophisticated modelling techniques

Realigning your modelling strategy to ensure focus on speed of decision in your algorithm
Assessing the costs and benefits of running multiple models to ensure diversification
Taking advantage of intra-day differences by utilising different models
Creating a more comprehensive model by looking at factors other than just price data

› Dr Sonia Schulenburg,

CEO, Level E Limited, United Kingdom

16.30