High Frequency Trading Review


    Thu, 31 Mar 2011 08:04:00 GMT

    Last week I had the honour of moderating a panel session at the 2nd Annual Ultra Low Latency Event in London, organised by Stacey Mankoff of The Mankoff Company.

    First of all, hats off to Stacey, she certainly knows how to put together a thought-provoking event with an interesting mix of people, both on the panels and in the audience.

    The evening was themed around trading opportunities and developments in FX & other asset classes, and it was split into two panel sessions. The first focused on how high frequency trading strategies are evolving with regulatory changes in an increasingly fragmented landscape and the second (the one I moderated) looked at selecting and implementing the best tools for multi-asset class high frequency trading.

    The first session, which Stacey herself moderated, featured (L-R above) Nikolai Marangozov of Morgan Stanley, Graeme Burnett of Celeritas and Professor Bruce Weber of the London Business School. I’ve seen Graeme speak at a number of events now and it’s always interesting to hear his perspective on things as he has a huge amount of experience when it comes to designing, implementing and running HFT strategies. In fact, if you want to get some good insight into financial engineering, high performance computing, information security and data visualisation, check out his Enhyper blog, there’s some fascinating stuff in there.

    For the second session (above, L-R) Hendrik Klein of DaVinci Invest, Sebastian Yoon of CFN Services, Rakesh Shah of Kingly Capital, Peter Van Kleef of Lakeview Arbitage and Chris Farrow of Chronos brought an interesting mix of skill sets and different perspectives on a whole range of topics around multi-asset HFT strategies, including the “build versus buy” argument, connectivity & hosting issues, the challenges of managing cross-asset risk and the dangers of inaccurate clock synchronization, amongst other things. I thought it was particularly interesting to hear about some of the pitfalls to avoid when designing FX HFT strategies (as opposed to equities for example).

    And of course, there was the networking cocktail reception afterwards (above), where lots of interesting conversations were going on!

    Stacey’s next event is on May 24th at the Westin Times Square in New York. Save the date!

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