Indian Institute of Quantitative Finance
Indian Institute of Quantitative Finance
Center of Finance Excellence - Quantitative Finance and Risk Management
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Seminar on
Algorithmic Trading and Derivatives Analytics
using QF Links

Presented By :
IIQF and HPC Links

MoreInformation Brief Background
Today’s dynamic market requires high level of flexibility, sharp response, control and risk management. Investment and trading decisions now involve complex strategies and sophisticated analytics involving complex instruments. Herein lies the importance of Algorithmic Trading or Algo-Trading – which uses computer programs for analyzing the market data in real-time and identifying potential investment / trading opportunities based on standard or custom-designed strategies, exploiting these opportunities by executing trades based on the strategies. The algorithm decides on all aspects of the transaction such as the timing, price, or quantity of the order with or without human intervention. Trading and investments in complex derivatives like Options involves accurate estimation of prices as well as risks. Derivatives trading strategies involve fast and accurate estimation of not only prices but also associated risk parameters. This necessitates the use of excellent valuation techniques that are very fast, efficient and accurate. These requirements of modern investment world, creates the perfect arena where High Performance Computing (HPC) using parallel computing technologies plays a very important and defining role in the success of the business.

MoreInformation Challenges and Opportunities
With the increase in competition in the Algorithmic Trading space due to huge spurt in proprietary trading desks in recent times, the requirement for smarter and faster algorithms and faster trading systems is now felt more than at any time in the past. To meet these specific requirements of the industry, HPC Links has partnered with IIQF to design QF Links, a comprehensive Financial Engineering application suite. QF Links is a high performance parallel computing application suite designed to meet the high-end needs of customers in the financial services industries. It is a complete platform offering both solutions and services for algorithmic trading, derivatives valuation and risk analytics.

MoreInformationAlgorithmic Trading and Derivative Analytics in India
We are organizing a seminar with a small group of peers from the industry to share their experience and insight regarding the current scenario of algorithmic trading and derivative analytics in India and bottlenecks faced and how high performance parallel computing can address these issues. It would be our pleasure to have you with us and share your views and participate in the discussion.

MoreInformationHow you benefit from the seminar

  • Learn from the industry experts about the technical nuances of algorithmic trading and latest derivative valuation models and implementation techniques currently being used in the industry internationally.
  • Learn how use of technology can improve derivative valuations and create new trading opportunities.
  • Learn how a cutting edge product like QF Links can help them customize and enhance your financial engineering solutions.
  • Interact with peers from the industry.

  • MoreInformationAgenda for the evening
    6.00 PM to 6.15 PM Registration
    6.15 PM to 6.20 PM Welcome speech
    Abhijit Biswas, Director – IIQF

    Keynote Speakers
    6.20 PM to 6.35 PM An overview of HPC Links and our HPC offerings
    Dr. Ashwini Nanda, Founder, Chairman and CEO of HPC Links
    6.35 PM to 6.50 PM High Performance Computing using GPU
    Manish Bali, NVIDIA
    6.50 PM to 7.05 PM QF Links: An Integrated Quantitative Finance solution from HPC Links
    Dr. Parag C. Prasad, Director of Parallel Application Technologies at HPC Links
    7.05 PM to 7.20 PM Algorithmic Trading using High Performance Computing
    Kalyan Roy, Quantitative Analyst with Deep Blue Technology
    7.20 PM to 7.35 PM Derivative valuations using High Performance Computing
    Dr. Binay Kumar Ray, AVP Quantitative Risk Team at Nomura

    Demo of QF Links, panel discussion and question answer session
    7.35 PM to 8.00 PM Demo of QF Links
    8.00 PM to 8.30 PM Panel discussion and question answer session

    8.30 PM onwards - Dinner
    Date : 10th December 2010
    Time : 6 PM onwards

    MoreInformation Speaker Profiles

    Dr. Ashwini Nanda
    Founder, Chairman and CEO of HPC Links. He has been involved high performance computer systems and applications for over twenty years. Previously he was the head of Computational Research Labs (CRL), India, where he led the development of the Eka system that became Asia's fastest supercomputer in 2007. Prior to that at IBM TJ Watson Research Center, NY, he conceptualized and led the development of Cell processor based system and software technologies in a corporate entrepreneurial environment, resulting in a new line of server product offerings from IBM, and the world's first Petaflop supercomputer, Roadrunner. Among other past accomplishments, he established the shared memory systems group at IBM Research, NY, worked on the Amazon superscalar processor architecture at Texas Instrument, Dallas, and developed parallel computers for India's missile defense systems at Wipro, Bangalore. Dr. Nanda was co-General Chair of the International Symposium on High Performance Computer Architecture (HPCA-7), served on the Editorial Board of IEEE Transactions on Parallel and Distributed Systems, edited special issues of the IEEE Computer magazine and IBM Journal of R&D. He holds ten US patents and has published over 45 papers in the area of parallel computer systems and applications. Ashwini is an IEEE Fellow.

    Dr. Parag C. Prasad
    Director of Parallel Application Technologies at HPC Links. He holds an M. Tech. and Ph.D. degrees in engineering and computer science from IIT Bombay. He has over 15 years of experience in designing HPC software products in Life Sciences, Health Informatics, Financial modeling, as well as applications of Artificial Intelligence and Neural Networks. Prior to joining HPC Links, Parag was at Computational Research Laboratories (CRL), where, as part of the pioneering team that built the fastest supercomputer for commercial use in the world, he helped build and grow the Life Sciences division. At CRL, Parag led the Computational Biology group in developing parallel algorithms for genomics and drug discovery. He also led benchmarking and certification of parallel applications on large HPC clusters. His innovative, scalable drug discovery workflow at CRL recently won corporate level awards from the Tata Group.

    Kalyan Roy
    Currently working as a Quantitative Analyst with Deep Value Technology, an innovative firm specializing in high-performance algorithmic trading strategy vehicles. He is associated with IIQF as visiting faculty and consultant. Previously he had worked as Statistical Consultant with Indiana University, U.S.A. where he was involved in modeling for researchers in physical, biomedical and social sciences. He had worked as Statistical Analyst with CITIBANK, Chicago, U.S.A. where he worked on consumer response modeling. He worked as Statistical Analyst with BANK ONE, Delaware, U.S.A. where he worked on consumer credit risk modeling. He had worked as Statistical Modeler with IMS America, Pennsylvania, U.S.A. He had been a Lead Consultant with Symphony Services, Bangalore, India and Market Research Director with IMRB International, New Delhi. He is a Ph.D. candidate in Statistics from Indiana University, Bloomington, U.S.A. He holds a Bachelor’s degree in Statistics from the Indian Statistical Institute, Kolkata and a Master’s degree in Statistics from the Indian Statistical Institute, Kolkata.

    Dr. Binay Ray
    AVP Quantitative Risk team with Nomura. A Quant professional with more than five years of experience in Modeling, Measurement and Management of Quantitative risk and analytical projects. He is the first person to start the Quant Credit Risk Team in India at Lehman Brothers for their entire Asia-Pacific trading desk and received an Outstanding Award in setting up Quant Credit Risk team and exposure estimation. Currently he is involved in developing a simulation-based system for commodity derivatives. He is a visiting faculty at IIQF, NITIE and NMIMS where he teaches Financial Econometrics, Time Series Analysis and Derivative Modelling. He is a Ph.D.(Econometrics) IGIDR, MBA ISB and BE.

    MoreInformationContact and Registration
    Nitish Mukherjee : +91-22-28797660 / +91-9769860151

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