Application of High Performance and Low Latency Computing in Investment Banks

Joint event with Financial Services Specialist Group.

Date/Time:
Thursday 8 January 2015, 6.00pm - 8.00pm

Venue:
The Davidson Building, 5 Southampton Street, London WC2E 7HA. The nearest underground stations are Covent Garden and Charing Cross.

Speaker:

Dr Tony K. Chau PhD FBCS CITP CEng, Executive Director, Lead Architect - IB CTO, UBS Investment Bank IT.

Summary:
Global investment banks and their clients spend a considerable amount of effort and IT budget in R&D in some of the "Arm Race" technologies. This talk aims to give an overview of the challenges faced in trading, market making and risk management, and of the technologies used to address these issues.

The talk will give an introduction on some of the programming techniques (e.g. kernel by pass, low latency programming frameworks), latency monitoring and precision time stamping and custom hardware for low latency computing. I will also discuss some of the devices used for high performance computing in realtime risk management systems (eg use of General Purpose computing using Graphic Processing Unit - GPGPU as well as leveraging the Advanced Vector Extensions on the CPU).

Bio:
Tony Chau is Executive Director and Lead Architect in the CTO Office at UBS, where he drives technology strategy in multiple areas important to UBS's trading and investment banking businesses across different asset classes globally. Prior to UBS, Tony spent 12 years with J P Morgan in various roles and was their Global Chief Architect for Credit, Rates and Global Emerging Market; Chief Business Technologist for EMEA Credit Markets and Chief Business Technologist for JPMorgan Equities EMEA.

Tony also spent 2 years with NEON (New Era of Networks) as their European CTO and before that was Head of Equity Trading Group IT at Nomura International plc.

Tony received his PhD in information engineering at The City University, London and a BSc from University College London. He is a Fellow of the British Computer Society and a Chartered Engineer.

Admission:
Free. To gain admission please email your name to our Membership Secretary, Algirdas Pakstas, in advance of the meeting, *including the title of the event and your name in the subject line* of your email.

Attendance lists will normally be finalised on the Monday preceding each meeting but late admission may be accepted by signing in to the Davidson Building as a visitor.

Presentations

PDF Icon Application of High Performance Computing in Investment Banks - Dr. Tony Chau, Lead Architect, IB, CTO, UBS

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