Program

9 June, Thursday. RED loft, СРЕDА (Moscow, Nizhny Susalny lane 5, building 4)

 

11:30

Welcome coffee

12:00

Welcome speech for BCS ALGO — 2016 participants

Lokhov Roman Lokhov, CEO, Investment Banking and Global Markets, BCS Global Markets
12:10

Section I Everything about HFT strategies

harchenko.jpg Evgeny Kharchenko “An overview of new Intel technologies relevant for HFT applications developers”
Speaker: A technical leader of Intel’s FasterLab laboratory. In his 16 years with Intel, Evgeni rose from the manager of the project for development of VTune Performance Analyzer to the manager of a virtual team of engineers working with HPC applications and the organizer and technical leader of the FasterLab laboratory supporting financial clients. FasterLab was opened in 2006 to support HFT as a business line. Support implies optimization of client applications and equipment and use of state-of-the-art technologies which Intel plans to introduce in the nearest future. FasterLab clients include almost all Top 20 investment banks, many world-level exchanges and numerous small and medium companies producing software for the financial market. At present, FasterLab is also working actively with Risk Analytics and Big Data.
yarcev Yury Yartsev “Experience of BCS in construction of a low latency infrastructure”
Speaker: Yuri started his career in financial information technologies at Aton in 2004, and in 12 years he rose from an e-trading systems support employee to head of the IT block. At various times, he was CIO/CTO at Otkritie Capital and BCS (the Global Markets division). In these companies, he developed and implemented the e-trading platform which evolved from an ordinary manual trading platform to a hi-tech platform supporting the needs of HFT/Algo/Low latency clients. From 2010 to 2014, he was a member of the IT Committee of the Moscow Exchange, and from 2013 to present he has been a member of the Technical Policy Commission of the Supervisory Board of the Moscow Exchange. At present, using a vast experience in construction of e-trading solutions, he is deals with new services and e-platforms within the scope of the company development projects.
medvedev.jpg Andrey Medvedev “Pre-trade systems in high-frequency trading. A broker’s view”
Speaker: For the last five years, Andrey has been involved in implementation of low latency pre-trade systems at Renaissance Capital and BCS. At present, he is responsible for development of risk systems at BCS Global Markets.
arbuzov.jpg Vyacheslav Arbuzov “HFT activity in instruments with various price increments”
Speaker: Vyacheslav is the author of more than 20 articles on the market microstructure and financial modelling.
Candidate of economic sciences. An active participant of the R users community and a co-author of the rusquant package. Vyacheslav’s research interests lie in the sphere of the market microstructure, modelling and diagnosis of financial bubbles, machine teaching systems and simulation modelling of the market.
14:00

Coffee break

14:30

Section II MFT — a new type of frequency strategies and their transformation. What is their difference from HFT?

harchenko.jpg Evgeny Kharchenko “An overview of new Intel technologies relevant for MFT/Big Data/Machine Learning apps developers”
Speaker: A technical leader of Intel’s FasterLab laboratory. In his 16 years with Intel, Evgeni rose from the manager of the project for development of VTune Performance Analyzer to the manager of a virtual team of engineers working with HPC applications and the organizer and technical leader of the FasterLab laboratory supporting financial clients. FasterLab was opened in 2006 to support HFT as a business line. Support implies optimization of client applications and equipment and use of state-of-the-art technologies which Intel plans to introduce in the nearest future. FasterLab clients include almost all Top 20 investment banks, many world-level exchanges and numerous small and medium companies producing software for the financial market. At present, FasterLab is also working actively with Risk Analytics and Big Data.
shulga Konstantin Shulga “Big Data use and application at the Moscow Exchange”
Speaker: Konstantin has been working in the securities market since 2008. He started his career in UniCredit Bank and then worked in Aton for three years, developing e-trading. Since July 2013, he has been working at the Moscow Exchange in the position of Head of International Sales, Securities Market. He is responsible for development of relations with international clients: global banks and brokers, long-term and passive investment funds, hedge funds and algorithmic and HFT funds.
ivliev Sergei Ivlev “Blockchain and digital asset markets”
Speaker: At present, Sergei is Director of the Russian branch of PRMIA (Professional Risk Managers’ International Association). For more than 16 years, he has been dealing with risk management issues and implementation of risk management systems. He is associate professor of the Department of Information Systems and Mathematics Methods in Economics, Head of the laboratory of cryptoeconomics and blockchain system of Perm State National Research University. Co-founder and operational director of Lykke, an innovative trading venue. An author of more than 50 articles on risk management and financial modelling. The author of the book Market Risk Management: methodology, Practice, Recommendations (Reglament Media Publishers). The Sphere of scientific interests: quantitative risk management, construction of models for pricing of financial instruments and market infrastructure, blockchain technologies. Candidate of economic sciences.
оселедец Ivan Osedlets “Tensor methods of solution of multidimensional problems, deep learning methods”
Speaker: Doctor of Physical and Mathematical Sciences, Associate Professor of the Skolkovo Institute of Science and Technology, the leading researcher of the Institute of Numerical Mathematics of the Russian Academy of Sciences. Ivan became associate professor of the Skolkovo Institute of Science and Technology in August 2013, and he is a leading researcher of the Institute of Numerical Mathematics of the Russian Academy of Sciences. Ivan’s research focuses on development of numerical methods (matrix and tensor) for solution of a wide range of multidimensional problems. The main instruments are linear algebra, singular decomposition, low-rank tensor approximation. This involves mathematics as well as a large component of programming and software development. Numerical solution of multidimensional problems is known to be impeded by the curse of dimensionality: complexity increases exponentially with growth of data quantity. Multidimensional problems occur in physics, chemistry, biology and continue to emerge. The quest is to find something common that combines various numerical methods for multidimensional problems. Tensors and their factorization present one of the most promising approaches. Ivan is the author of more than 40 published and accepted works in reputable journals on computational mathematics and computational physics, e.g. SIAM J. Sci. Comput, Computer Physics Communications.
16:30

Cocktails