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About

About

These events have been built in collaboration with some of the world’s leading banks, financial institutions and technology companies to ensure that the most pressing and pertinent issues are covered. Topics ranging across trading, fixed income, derivatives, syndicated loans and trade finance, identity and payments. Discussion for leading figures on both the business and technology sides of the global banking industry.

London Topics:

Algorithmic Differentiation, Initial Margin Computation & Numerical Optimization.

Machine Learning, Big Data, IoT & HPC.

Distributed Ledgers in Financial Markets, Smart Contracts, Decentralised Clearing Network, Decentralization in Financial Markets, Implementation Strategies, KYC blockchain implementation regulatory and compliance challenges, Distributed Ledger Regulations & Compliance.

New York City Topics:

Distributed Ledgers in Financial Markets, Smart Contracts, Decentralised Clearing Network, Decentralization in Financial Markets, Implementation Strategies, KYC blockchain implementation regulatory and compliance challenges, Distributed Ledger Regulations & Compliance.

London Fees:

  • All 3 days: £750 + UK VAT
  • Blockchain Summit Only: £295 + UK VAT
  • Blockchain Summit + Day 1 Only: £545 + UK VAT
  • Main Conference: £545 + UK VAT
  • Attend Main Conference Day 1 Only: £295 + UK VAT
  • Attend Main Conference Day 2 Only: £295 + UK VAT

London Venue:

Grand Connaught Rooms
61 - 65 Great Queen Street
London WC2B 5DA
Tel: +44 (0)20 7405 7811
Venue Website


New York City Fees:
  • All 3 days: $1500
  • Workshop Day Only: $600
  • Workshop Day + Day 1 Only: $1100
  • Main Conference 2 Days: $1100
  • Attend Main Conference Day 1 Only: $600
  • Attend Main Conference Day 2 Only: $600

Who will attend?
CEOs, Chairmen, CTOs, CIOs, Managing Directors, Global Heads, Heads of Desks, Heads of Innovation and teams, Traders, Quants, Structurers, FinTech companies and more besides.

Benefits of attending:

  • Boost your contact list
  • The event will bring together the tech and financial worlds to create a framework for one to solve the needs of the other.
  • It will be a perfect place to network and do business with everyone you need, under one roof.
  • Keep up to date with this rapidly developing arm of the industry.
  • Join the debate
WBS Training are pleased to announce our latest dynamic conferences in the ever changing world of financial technology. The fees are set low so that in a world of tight budgets all can attend.

Limited places so book early!

Conference Speakers

London Conference

Blockchain Regulation & Compliance Summit

Wednesday 26th April 2017


08:30: Registration and Morning Welcome Coffee


09.30 – 10.15: Keynote Speech: Distributed Ledger Regulations & Compliance

 

 

 

 

Presenter: Siân Jones, Founder, European Digital Currency & Blockchain Technology Forum


10.15 – 11.00: Sandboxes Friend or Foe?

Presenter: Nicole Sandler: Vice President, Regulatory Policy, Barclays

  • What is Project Innovate?
  • The FCA’s sandbox consultation
  • The Regulatory Sandbox
  • The Virtual/Industry Sandbox
  • The Umbrella Company Sandbox
  • Other jurisdictions following the FCA’s lead –including MAS and the US

11.00 – 11.30: Morning Break and Networking Opportunities


11.30 – 12.30Clearing and Settlement and Distributed Ledger Technology: A Legal and Regulatory Perspective

Presenters: Paul Vine: Partner, Norton Rose Fulbright

 

 

 

 

& Hannah Meakin: Partner, Norton Rose Fulbright

 

 

 

 


12.30 – 13.30: Lunch


13:30 – 14:15 Panel Discussion

Distributed Ledger Technology and the Law: Intellectual Property, Data Privacy, Liability and Disputes Resolution

Moderator: Peter McBurney: Professor of Computer Science and Head of the Department of Informatics, King’s College London 

 

 

Panelists:

Andrew Dentice, Vice President, Legal Counsel, Barclays

 

 

 

Harriet Jones-Fenleigh, Senior Associate, Norton Rose Fulbright

 

 

 

James Russell, Partner, Norton Rose Fulbright

 

Nicholas Berry: Senior Associate, Norton Rose Fulbright


14.15 – 15.00: The Regulatory Perspective on the use of Distributed Ledger Technology

 

 

 

 

Presenter: Alex Batlin: Global Head of Emerging Business & Technology and Global Blockchain Lead, BNY Mellon


15.00 – 15.30 Afternoon Break and Networking Opportunities


15.30 – 16.15: Privacy and Confidentiality across Jurisdictions

Presenter: Nolan Bauerle: Analyst, CoinDesk Research

  • Graph analysis on public blockchains
  • New cryptographic tools for privacy and confidentiality
  • EU General Data Protection Regulation
  • Common law and freedom of contract

16.15 – 17.00: Regulations & Compliance Panel

Moderator:

Siân Jones: Founder, European Digital Currency & Blockchain Technology Forum

 

 

 

Topics:

  • What are the potential compliance, operational, legal and regulatory implications of Distributed Ledger Technology?
  • Discuss how a streamlined clearing and settlements using distributed ledger technology could help to overcome regulatory hurdles and future challenges
  • Examining the regulation and compliance challenges of deploying blockchain technologies across industry
  • In the ever changing regulatory and compliance environment what do we expect from the regulators regarding cryptocurrencies and the Blockchain?
  • How will the regulators initially deal with DLT innovation?
  • Discuss how DLT might enhance, influence or hinder the regulators
  • Should regulators agree or not? DCN as the perfect Trade Repository
  • Could DLT help the regulators to foresee the next potential crisis, and how to react?
  • Will DLT technology radically change the regulatory landscape?
  • Discuss Cyber threat and risks, and associated regulatory challenges

Panel:


Gary Chu:
Technology Lawyer, Legal Council, UBS

 

Nicole Sandler: Vice President, Regulatory Policy, Barclays

 

 

 

Alex Batlin: Global Head of Emerging Business & Technology and Global Blockchain Lead, BNY Mellon

 

 

 

Nolan Bauerle: Analyst, CoinDesk Research

 

 

 


Register Now

The 2nd Annual QuanTech Conference

Thursday 27th April: Distributed Ledger Technology Stream


08:30: Registration and Morning Welcome Coffee


09:00 – 09:45: Keynote speakers

FINTECH IN FINANCE: Changing Pricing Between Regulations and Fintech

  • RWA, FRTB and Leverage: the effects on the hedging business
  • Capital at the heart of Pricing: KVA under the P-measure
  • Is Fintech a way out? Machine learning for FRTB/IFRS9 and Blockchain for EMIR/MIFID?
  • A Blockchain case study

 Massimo Morini: ‎Head of Interest Rate and Credit Models, Gruppo Intesa Sanpaolo


09.45 – 10.30 Panel: The Future of Money & Finance

Moderator:

Nick Ayton: Co Founder & CTO, The 21Million Project


 

 

Topics:

  • What are the challenges and opportunities facing the finance industry due to the growing influence of new technologies?
  • What are the likely disruptive impact of these financial technology?
  • Discuss the impact of big data analytics and machine learning in the financial world
  • Is distributed ledgers technology the embryo of a bankless world or the real end of the crisis for banks?
  • Discuss the regulatory and compliance challenges that will need to be navigated
  • How banks can win this battle. Winning together or finish first?

Panelists

 Massimo Morini, ‎Head of Interest Rate and Credit Models, Gruppo Intesa Sanpaolo

 

 

 

Jean-Marc Depinay: Executive Consultant – Data Scientist, ATOS

 

 

 

Andrew Green: Managing Director, XVA Lead Quant, Scotiabank

 

 

 

Erik Vynckier: Partner, InsurTech Venture Partners, Board member, Foresters Friendly Society



10.30 – 11.00: Morning Break and Networking Opportunities


Distributed Ledgers Technology Stream

Chair: Nick Ayton: SmartLedger Labs, Blockchain-X


11.00 – 11.45: “Update on Smart Contract Templates”

Presenter: Lee Braine: Investment Bank CTO Office, Barclays

  • “Smart Contract Templates” to connect legal agreements to corresponding business logic
  • Standardised agreements, straight-through processing, legal enforceability, simplified dispute resolution
  • Cost reduction, efficiency improvement, risk reduction
  • Open innovation and collaboration (ISDA, UCL, R3 consortium, etc)
  • Research papers and summits
  • Next steps

11.45 – 12.30: Blockchain re-defines Operating Models with Smart Contracts as the Secret Sauce

Presenter: Nick Ayton: Co Founder & CTO, The 21Million Project

  • Implementing Blockchain Operating Models
  • Blockchain as a >50% cost out play
  • Smart Contracts are the secret sauce

 


12.30 – 13.30: Lunch 


13.30 – 14.15: “Blockchain Innovation Touching the Masses”

Presenter: Janina Lowisz, CMO, Cashaa

Cashaa is a p2p marketplace for money transfer, bringing fees down to 0% and offering best exchange rate, while serving as global cryptocurrency exchange. Starting with money transfer, our p2p model enables a range of services that reach both the banked and unbanked masses.

Cashaa is a product of Auxesis Group, which is building a blockchain ecosystem in India, working with government, banks, insurers and other corporations as well as universities and startups in India and internationally.


14.15 – 15.00: “DAT or DLT? Distributed Automation Technology and the Future of Financial Market Infrastructure”

Presenter: Robert Sams: CEO, Founder, Clearmatics

  • Automates business processes shared across multiple parties without the intermediation of a server
  • Based on Peer-to-Peer rather than Server-Server or Client-Server.
  • Full transparency of computations and processess.
  • Privacy without a “trusted” third-party host
  • Enables interoperability between different distributed systems without the adoption of common data exchange standards.
  • Enables new business models…challenges the platform model

15.00 – 15.30 Afternoon Break and Networking Opportunities


15.30 – 16.15: KYC and Identity Management

Presenter: Anish Mohammed: Lead Security Architect, HSBC

  • See how data protection laws are changing and how individuals should be able to control the data consumed by 3rd parties linked to a transaction
  • Debate the practicalities of a national KYC blockchain and what that would actually look like as well as the privacy and security issues that this could pose
  • Discuss the ways in which a KYC blockchain could be implemented and the regulatory and compliance challenges that will need to be navigated

16.15 – 17.00: USE CASEs:

“The Current State and Future of Smart Contracts”

Presenter: Darren Tseng: Cofounder & VP of Product, Adjoint

  • The current state of smart contracts in various blockchain implementations
  • Smart contracts applied in the energy trading space
  • The future of smart contracts

 

Presenter: Dinis Guarda: Founder and CEO, Humaniq

Humaniqs goal  is to connect over one billion unbanked people to the global economy using cryptocurrencies and smart contracts.

The key element of Humaniq is that it’s a new kind of mobile bank, unchained from the massive ledger most bitcoin users are required to keep. To create a wallet and use the system, Humaniq will employ facial and vocal biometric recognition algorithms to create unique user signatures that are extremely secure and remove the need for passwords. The software will be designed to work on even the cheapest of android phones, ensuring maximum adoptability.


17.00 – 17.45: Distibuted Ledger Technology Panel

Moderator:

Nick Ayton: Co Founder & CTO, The 21Million Project


 

 

 

Topics:

  • Do you see value in smart contracts to improve call processes?
  • Discuss the various types of potential smart contracts and smart contract platforms.
  • What are the roles of smart contracts in automated execution for derivatives trading.
  • How might smart contracts modernize financial products, such as mortgages?
  • How will personal and commercial insurance change with smart contracts?
  • Is there a demand? Can this technology increase customer satisfaction?
    • Discuss the pros and cons of DLT for settlements and how it could remove the reliance of intermediaries for clearing.
    • Can a Decentralized Clearing Network be better than a Centralized Counterparty?
    • Potentially what else can be shared and decentralized?
      • Execution, Settlement?
      • Even the Order Book?
  • Could the use of distributed ledger technology harmonise the regulatory difficulties on the world derivatives markets?
  • Will distributed ledger technology advancements include reduced collateral requirements?
  • What are the pain points for collateral management that distributed ledgers could potentially address?
  • The threat of disintermediation: will clearing and settlement services become obsolete? 
  • Facilitating the sharing economy: what will be the impact on P2P financial products?
  • Decentralised autonomous organizations: will this be the future? Who will benefit?
  • Will Distributed ledger technology accelerate the move to a cashless society
  • Will Distributed ledger change the established business models of financial institutions?
  • What will be the next big milestone for Distributed ledger technology?
  • How do timeframes for adoption vary across different areas of financial services?

Panel:

Lee Braine:Investment Bank CTO Office, Barclays

 

 

 

 

Robert Sams: CEO, Founder, Clearmatics

 

 

 

 

Yiseul Cho: Data Science, Blockchain, HSBC 

 

 

 


18.00: Networking Reception

Stay and continue the day’s discussions and network with food and drink.

Register Now


Friday 28th April: Algorithmic Differentiation, Initial Margin Computation, and Numerical Optimization Stream


08:30: Registration and Morning Welcome Coffee


09:00 – 09:40: Keynote speaker: The Global State of the Fintech Industry

Susanne Chishti: CEO, FINTECH Circle 


09:40 – 10:20
Panel: The Evolution of Quantitative Finance in The Fintech World

Moderator:
Susanne Chishti:
CEO, FINTECH Circle

 

 

 

Topics:

  • What are the opportunities for quants in the new Fintech world?
  • Are regulations taking over and changing the role of the quant? 

Panelists:

Paul Bilokon: Head of MET Credit Quants, Deutsche Bank

 

 

 

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

 

 

 

Tomaso Aste: Head Financial Computing & Analytics Group, University College London

 

 

 


10.20 – 10.50: Morning Break and Networking Opportunities


Algorithmic Differentiation, Initial Margin Computation, and Numerical Optimization Stream

Chair: Uwe Naumann: Professor for Computer Science, RWTH Aachen University


10.50 – 11.30: Robust Sensitivities and RniVAR

Presenter: Simone Caenazzo: Financial Engineer, IMEX Initial Margin Exchange

  • Infinitesimal sensitivities versus regression sensitivities
  • Defining and estimating RniVAR
  • The SBA VAR compared with full-revaluation VAR
  • Including CVA/FVA and exotic derivatives
  • Accounting for model risk

11.30 – 12.15: A Novel Algorithmic Approach for Ultra-fast Risk Computations, with Dynamic SIMM as an example

Presenter: Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

  • Review of current algorithmic accelerating approaches
  • The Algorithmic Pricing Acceleration (APA), Algorithmic Greeks Acceleration (AGA) and Portfolio Pricing Compression (PPC)
  • Practicalities of implemenation
  • Example: Dynamic SIMM simulation
    • DeltaMargin, VegaMagin and Curvature Margin simulation
    • Orthogonal decomposition of SIMM sensitivities
    • Computational Implementation: we implement the solution to a realistic sample portfolio of swaps, bermudan swaptions and other exotic trades
    • How to do full SIMM simulation (no proxies) of complex portfolios ultra-fast
    • Incremental MVA, ultra-fast

12.15 – 13.00: AAD and Other Techniques for Fast KVA/MVA Without Crude Approximations

Presenter: Alexander Sokol: CEO and Head of Quant Research, CompatibL

  • Performance bottleneck for KVA/MVA is in calculating the raw inputs to capital or margin along the Monte Carlo path (e.g., sensitivities in case of FRTB SA-TB or SIMM), not in calculating the capital or margin from these inputs
  • The practice of approximating the entire capital or margin as a function of a few risk factors by AMC, interpolation, or other methods is unreliable and fails especially badly for diversified or well hedged portfolios
  • Thanks to AAD and other techniques we will cover, first principles calculation of KVA/MVA from accurate projections of these raw inputs can be done to the same accuracy standard as CVA, at only x5 multiple of its computational cost
  • This approach produces fast and accurate projected capital and margin along the Monte Carlo path that matches their actual t = 0 values without resorting to an ad-hoc multiplier
  • The presentation will cover first principles MVA for BCBS-IOSCO and CCP margin methods, and first principles KVA for SA-CCR, FRTB SA-TB, SA-CVA, and IMA methods

13.00 – 14.00: Lunch 


14.00 – 14.45: Taming Algorithmic DifferentiationReclaiming the simplicity

Presenter: John Barclay: Managing Principal, Head of Risk and Finance Consulting, GFT

  • Minimising complexity; maximising productivity in AD
  • A new look at AD with DAG-based architectures –frameworks for the future
  • AD meets GPU, Python and C++
  • Implicit Aggregation of Partials in metric calculations
  • Combining “natural” (AD analytical) partial derivatives with numerical approaches

14.45 – 15.30: Meta Adjoint Programming

Presenter: Uwe Naumann: Professor for Computer Science, RWTH Aachen University

  • Tapeless adjoint on GPU through dco/map
  • GPU adjoints with same performance as hand-coded adjoints
  • “peaceful” co-existence of adjoints on both CPU and GPU

 


15.30 – 15.40 Afternoon Break and Networking Opportunities


15.40 – 16.10: Algorithmic Differentiation, Initial Margin Computation, and Numerical Optimization Panel

  • Initial Margin, a push for more model standardization? Good or bad?
  • Discuss Implementing SIMM for Non Cleared Initial Margin Rules
  • Understand the impacts of initial margin, bi-lateral initial margin and MVA on business models
  • What are new numerical tricks to accelerate XVA’s calculations?
  • The relative strengths and weaknesses of forward vs. reverse AD mode in practical calculations
  • The latest advances in AAD for Monte Carlo and American Monte Carlo
  • Practical Implementation of AAD “GPU vs. AAD”
  • GPUs and AAD are not mutually exclusive – you can do both
  • XVA Risk can be done using AAD but regulators and others clearly favour full revaluation for risk and stress testing

Moderator:

Uwe Naumann: Professor for Computer Science, RWTH Aachen University

 

 

 

Panel:

Alexander Sokol: CEO and Head of Quant Research, CompatibL

 

 

 

John Barclay: Managing Principal, Head of Risk and Finance Consulting, GFT

 

 

 


END OF CONFERENCE

Register Now

The 2nd Annual QuanTech Conference

Thursday 27th April: Machine Learning, Big Data, IoT & HPC Stream


08:30: Registration and Morning Welcome Coffee


09:00 – 09:45: Keynote speakers

FINTECH IN FINANCE: Changing Pricing Between Regulations and Fintech

  • RWA, FRTB and Leverage: the effects on the hedging business
  • Capital at the heart of Pricing: KVA under the P-measure
  • Is Fintech a way out? Machine learning for FRTB/IFRS9 and Blockchain for EMIR/MIFID?
  • A Blockchain case study

 Massimo Morini, ‎Head of Interest Rate and Credit Models, BANCA IMI


09.45 – 10.30 Panel: The Future of Money & Finance

Moderator:
Nick Ayton: SmartLedger Labs, Blockchain-X

 

 

 

Topics:

  • What are the challenges and opportunities facing the finance industry due to the growing influence of new technologies?
  • What are the likely disruptive impact of these financial technology?
  • Discuss the impact of big data analytics and machine learning in the financial world
  • Is distributed ledgers technology the embryo of a bankless world or the real end of the crisis for banks?
  • Discuss the regulatory and compliance challenges that will need to be navigated
  • How banks can win this battle. Winning together or finish first?

Panelists

Massimo Morini, ‎Head of Interest Rate and Credit Models, Gruppo Intesa Sanpaolo

 

 

 

Jean-Marc Depinay: Executive Consultant – Data Scientist, ATOS

 

 

 

Andrew Green: Managing Director, XVA Lead Quant, Scotiabank

 

 

 

Erik Vynckier: Partner, InsurTech Venture Partners, Board member, Foresters Friendly Society

 


10.30 – 11.00: Morning Break and Networking Opportunities


Machine Learning, Big Data, IoT & HPC Stream

Chair: Erik Vynckier: Partner, InsurTech Venture Partners, Board member, Foresters Friendly Society


11.00 – 11.45: Big Data and the Internet of Things – A revolution in insurance?

Presenter: Erik Vynckier: Partner, InsurTech Venture Partners, Board member, Foresters Friendly Society

  • Disruption of the insurance value chain
  • How to embed innovation
  • InsurTech pathways to growth

11.45 – 12.30: Extreme XVA: GPU + AD

Presenter: Andrew Green: Managing Director, XVA Lead Quant, Scotiabank

  • XVA is one of the most computationally intensive calculations in finance
    • Hence it requires innovative high performance computing solution
  • Identifying the performance critical stages in XVA Calculations
  • Algorithmic Differentiation – a potential performance solution?
  • Why straight-line performance is still needed
  • Coding for GPU cards

12.30 – 13.30: Lunch


13.30 – 14.15: Applications of Network Theory in Finance

Presenter: Kimmo Soramäki: CEO, FNA

  • Understanding large dynamic correlation structures
  • Stress testing with correlation networks
  • Network based investment strategies
  • Network algorithms in clearing and settlement
  • Improving fraud detection & AML with networks
  • Detecting cyber threats with network monitoring

14.15 – 15.00: Challenges for Big Data Analysis in the Post-Crisis Regulatory Environmentment

Presenter: Ulrich Nögel: Co-Founder, Analytics – big xyt

The deep impact of the financial crisis on the finanical system shaped a new regulatory environment, which not only affects market structure and players but additionally leads to new and unimagined challenges for finanical infrastructure and requirements for managing large data sets.

Particular MiFID 2 involves some key aspects which yield to new challenges in managing big data.

Some of key elements of MiFID 2 are outlined, with some particular emphasis on transaction cost analysis (TCA) together with the technical challenges in the implementation and examples and visualisation from selected asset classes.


15.00 – 15.30: Afternoon Break and Networking Opportunities


15.30 – 16.15: “Technology Advantage”

Presenter: Jean-Marc Depinay: Executive Consultant – Data Scientist, ATOS

In a world where constraints are constantly increasing with regulations, complains, legal disputes, customers more demanding, volatile, and changing, competition harder… Cost control and agility ‘IS’ paramount…


16.15 – 17.00: Optimizing SIMM with Evolutionary Strategies

Presenter: Carl Thornberg: Head of Financial Development, TriOptima

  • SIMM overview
  • Optimization goal and constraints
  • Evolutionary strategies
  • GPU implementation
  • Performance

17.00 – 17.45: Big Data for Trading and Risk Management Panel

Moderator:

Jean-Marc Depinay: Executive Consultant – Data Scientist, ATOS

 

 

 

Topics:

  • How can quants successfully interface with Big Data?
  • Discuss how to quantify Big Data the opportunities
  • Big Data in trading: is it about measuring implementation costs or generating alpha through smart, or at least data-intensive, algorithms?
  • Big Data in the fixed income markets (rates, currencies, bonds, credit): differences of overthe- counter markets to order-book driven equity markets?
  • Big Data from consumer and producer markets: input into financial strategies?
  • Regulations & compliance – can Big Data help you prove best execution?
  • Big Data for the regulators: looking for systemic risk in the reporting data? Who-infects-who?
  • “Data: Challenges and key asset in a disruptive world…”
    • Data Sources for a comprehensive intelligence
    • Data quality and Governance to keep the business laser focused
    • Data processing and Technology to be the disrupter…
      1. Big Data
    • Don’t get stuck on data but the powerful vision and strategy data led…
  • The next frontier of big data generation in capital markets?

Panel:

Ulrich Nögel: Co-Founder, Analytics – big xyt

 

 

 

Kimmo Soramäki: CEO, FNA

 

 

 


18.00: Networking Reception

Stay and continue the day’s discussions and network with food and drink.

Register Now


 

 

 

 

 

 

 

 

 

 

 

 


 Friday 28th April: Machine Learning, IoT, Big Data & HPC Stream


08:30: Registration and Morning Welcome Coffee


09:00 – 09:40: Keynote speaker: The Global State of the Fintech Industry

Susanne Chishti: CEO, FINTECH Circle 


09:40 – 10:20
Panel: The Evolution of Quantitative Finance in The Fintech World

Moderator:
Susanne Chishti:
CEO, FINTECH Circle

 

 

 

Topics:

  • What are the opportunities for quants in the new Fintech world?
  • Are regulations taking over and changing the role of the quant? 

Panelists:
Paul Bilokon: Head of MET Credit Quants, Deutsche Bank

 

 

 

Ignacio Ruiz: Founder & CEO, MoCaX Intelligence

 

 

 

Tomaso Aste: Head Financial Computing & Analytics Group, University College London

 

 

 


10.20 – 10.50: Morning Break and Networking Opportunities


Machine Learning, Big Data, IoT & HPC Stream

Chair: Paul Bilokon: Head of MET Credit Quants, Deutsche Bank


10.50 – 11.30: Kdb+/q, HFT, & Machine Learning

 

 

 

Presenter: Paul Bilokon: Head of MET Credit Quants, Deutsche Bank


11.30 – 12.15: Putting Big Data, Advanced Analytics and Break-through Trading strategies to Work in the Financial Markets.

Presenter: Tilman Sayer: CIO, Advanced Logic Analytics

  • We will present how our big data solutions and business-driven analytics are helping financial firms navigate the complexities of data capture and analysis to facilitate better business insight and decision-making across functions.
  • We will look at our break-through equities trading strategy and delve into the underlying mathematical concepts, which focus specifically on controlling downside risk.
  • Further, we will present our approach to incorporating market sentiment from news.

12.15 – 13.00: Predictive Modeling for a Complex World

Presenter: Tomaso Aste: Head Financial Computing & Analytics Group, University College London

Abstract:

Understanding and modeling the complex nature of markets, peoples and societies have become a crucial challenge with great practical impact. The current ICT revolution has provided unprecedented access to large amount of data for modeling and forecasting. However, analyzing, understanding, filtering and making use of such a large amount of data have also become a challenge in itself.

I will present scalable methodologies based on the combination of network theory, statistical physics, data science, multiscale analysis and computational methods to unwind complexity and produce robust and meaningful models that are capable to make reliable predictions. I will illustrate the use of these techniques for risk assessment, stress testing and forecasting.


13.00 – 14.00: Lunch 


14.00 – 14.45: Application of Machine Learning Techniques to the MVA Optimisation Problem

  • MVA calculation
  • MVA optimisation
  • Why machine learning?
  • The choice of machine learning algorithm
  • Genetic algorithm
  • Particle swarm optimisation

Presenter: Alexei Kondratyev: Managing Director, Financial Markets, Standard Chartered Bank


14.45 – 15.30: “Machine Learning for Tactical Asset Allocation Decisions”

Presenter: Grigorios Papamanousakis: Deputy Head of Systematic Asset Solutions, Aberdeen Asset Management

 

 


15.30 – 15.40 Afternoon Break and Networking Opportunities


15.40 – 16.10: Machine Learning / HPC Panel

Topics:

  • What is the current state of utilisation of machine learning in finance? What applications can you list among its successes? How much value is it adding over and above the “classical” techniques such as linear regression, convex optimisation, etc.?
  • Do you see high-performance computing (HPC) as a major enabler of machine learning? What advances in HPC have caused the most progress?
  • What do you see as the most important machine learning techniques for the future?
  • In terms of adoption of the new science and technology, where do we stand as an industry? How do we compare to other industries? What can we learn from them?
  • Do you think machine learning and HPC will transform finance 5-10 years from now? If so, how do you envisage this transformation? Can you anticipate any pitfalls that we should watch out for?

Moderator:

Paul Bilokon: Head of MET Credit Quants, Deutsche Bank

 

 

 

 

Panel:

Alexei Kondratyev: Managing Director, Financial Markets, Standard Chartered Bank

 

 

 

Grigorios Papamanousakis: Deputy Head of Systematic Asset Solutions, Aberdeen Asset Management

 

 

 


END OF CONFERENCE

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Sponsors

There are limited sponsorship opportunities for this event so please contact neil@wbstraining.com
Featured Image

Clearmatics is developing the next-generation clearing machines for financial OTC markets. Our blockchain platform brings together custodians and end-users on a single platform, where members can settle securities trades and automate the performance of derivatives and other financial contracts using our Decentralised Clearing Network (DCN) technology.



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EDCAB - European Digital Currency & Blockchain Technology Forum is a public policy platform for virtual currencies and distributed ledger technology.

EDCAB is at Rue Chares Martel, 6-8, 1000 Brussels, Belgium and can be reached using our contact form or by phone: +32 2 588 7232.

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MoCaX Intelligence is a new-to-the-market algorithm that accelerates existing Risk Engines without the need for complex systems development or expensive hardware upgrades. MoCaX removes the pricing step bottle-neck that often uses over 90% of computational effort in existing engines and increases capabilities by several orders of magnitude with no loss of accuracy.

MoCaX builds on the new Algorithmic Pricer Acceleration (APA) and Algorithmic Greeks Acceleration (AGA) methods. APA synthesises your existing pricers and creates an accelerated version of them. Even your very slowest and complex pricer, passed through MoCaX, will return the same results (down to 10-15 precision) ultra-fast (up to a few nanoseconds). For example, this enables highly accurate Monte Carlo within Monte Carlo in an instant.

Please ask for a free version of MoCaX so you can test it for yourself: i.ruiz@iruiztechnologies.com

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CompatibL is a software application, analytics and consultancy company specializing in Regulation and market and counterparty risk such as FRTB and all XVAs, for which for which it was the winner of Risk magazine’s 2017 award for Specialist Market Risk Vendor of the Year. Compatibl not only offers turnkey solutions for XVA and regulatory needs, but CompatibL’s consultancy teams additionally offer FRTB and pricing / XVA Model validation and development.
CompatibL is at the forefront of many important industry innovations and trends around the trading and risk space, including Adjoint Algorithmic Differentiation (AAD), a proven technique for delivering massive performance gains for the calculation of sensitivities and capital measures.
With a team of over 200 experienced developers and financial engineers, CompatibL has implemented more than 70 major projects across a client base of over 50 banks, central banks, Supranationals and asset managers in the US, EMEA and Asia, including 4 out of 5 largest derivatives dealers.

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“The Numerical Algorithms Group (NAG) provides expertise in numerical engineering, by delivering high-quality computational software, consulting services and high performance computing (HPC) services.

The NAG Library and Algorithmic Differentiation software tools are used extensively by the financial services community. The majority of Tier 1 Investment Banks use the NAG Library embedding it within their own quant analytics libraries and related applications. As leading provider of Algorithmic Differentiation software tools and related services we have pioneered in pushing boundaries combining Adjoint technology with accelerators. Our solutions help clients implement adjoints into their quant libraries including specialist implementations such as CVA on GPUs.

As a not-for-profit company, NAG reinvests surpluses into the research and development of its products, services, staff and its collaborations.”

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TriOptima provides risk management services for OTC derivatives, reducing costs and eliminating operational and credit risk through a range of services.

triResolve for proactive reconciliation of OTC derivative portfolios, repository validation and dispute resolution

triReduce for multilateral portfolio compression services across OTC product types

triBalance for rebalancing counterparty risk exposure between multiple CCPs and bilateral relationships

triCalculate for the complete spectrum of counterparty credit risk analytics leveraging state-of-the-art massively parallel computing devices

TriOptima maintains offices in London, New York, Singapore, Stockholm, and Tokyo.

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Distributed: The Distributed Ledger provides essential education and intelligence covering the development, deployment and application of blockchains and distributed ledgers.https://godistributed.com/

Bitcoin Magazine: Bitcoin Magazine is the original source of information, news and commentary about Bitcoin, the blockchain and digital currencies.https://bitcoinmagazine.com/

yBitcoin: yBitcoin is a trusted and educational introductory primer into the world of Bitcoin and the blockchain since 2013.https://ybitcoin.com/

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Over the years, financial professionals around the world have looked to Wiley and the Wiley Finance series with its wide array of bestselling books for the knowledge, insights, and techniques that are essential to success in financial markets. As the pace of change in financial markets and instruments quickens, Wiley continues to respond.



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Brave New Coin (BNC) is a Data & Research company who has built a superior Market-Data Engine for the Blockchain & Digital Equities industry. We collect, process & index live data from over 100 trading platforms in real-time to produce a number useful data tools for Developers, Traders & Enterprise. 



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CIOReview is a technology magazine that talks about the enterprise solutions that can redefine the business goals of enterprises tomorrow. It is the leading source that shares innovative enterprise solutions developed by established solutions providers, upcoming hot enterprises and is a neutral source for technology decision makers. Published from Fremont, California, CIOReview is an excellent platform for the enterprise to showcase their innovative solutions.

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IMEX is a new interbank utility that standardises SIMM calculations. It readily meets interbank and regulator needs and provides the potential to dramatically reduce funding and operational costs with no security risks.

Feedback from early adopters is that the IMEX SIMM implementation provide the most optimal IM charges when used bilaterally and the best P&L Explained. Margin calls are consistently more accurate than those derived from other methods in back-testing.

IMEX runs as an appliance – deployed locally, processing client-portfolios on site and generating sensitivities that are fed into the existing margin infrastructure. By loading the IMEX centrally calibrated market data every day and through the use of a holistic homogenous risk model, the risk calculation is standardised for each client. It therefore, becomes ‘synchronised risk’.

As a result of this, the SIMM calculations reconcile completely with other counterparties using the IMEX platform. Banks now have a choice to either cement the overheads of SIMM calculation, reconciliation, and disputes into their business model, or to remove this overhead with IMEX.

imex-global.net