1. Edward Tsang 2009.09.16

2. Research is important to CCFEA  Good and paid students go to top centres Winners take all  We want to be the best in our fields  Each member should produce at least one paper that the world cannot ignore per year  Joint research demonstrate synergy  Citation counts: please cite each other http://www.bracil.net/finance/HFF/expertise.html More pages to make, Latex to add

3. CCFEA as a world authority in X  What could X be?  Application: High frequency finance  Technology: Computational Intelligence Constraints, Optimization, Games, Fuzzy Logic Agents technology  Risk management?  Agent-based economics?  Financial games?

4. Build around High Frequency Finance  I propose to build around High Frequency Finance (HFF)  It has a rich agenda  Computational finance techniques can be applied to it  Olsen has exciting ideas  We have unique data sets (from Olsen)Olsen  We can all work together around it

5. Significance of HFF  Average daily turnover : about US$3.98 trillion [1]  2008 World GDP [2] : WorldUS$60.69 trillion 1.USUS$14.26 trillion 2.JapanUS$ 4.92 trillion 3.ChinaUS$ 4.40 trillion 4.GermanyUS$ 3.67 trillion 5.FranceUS$ 2.87 trillion [1] 2009 estimation based on Bank for International Settlements, 2007 [2] International Monetary Fund, 2008

6. Proposal: Wiki-style HFF Research  Build upon Olsen Routes  Open source  Involve everyone who wants to participate, e.g.  Economists can build economic models  Traders can be modelled  Fuzzy logic, optimization, evolutionary computation can all be applied  Algorithmic trading can be tested (for real or as games)  See http://www.bracil.net/finance/HFFhttp://www.bracil.net/finance/HFF

7. How does it work?  Researchers can submit their modules  Each submission clearly states the function and Input/Output (I/O)  I/O should be text based & program readable  Researchers are encouraged to link their modules to each other  An administrator coordinates by Maintaining a registry of modules Encouraging common I/O format

8. What to do next  Olsen will pass Olsen Routes to CCFEA Sean to be in charge To be helped by a PhD student  We should encourage our students to write programs in Web Services For integration in the Platform  When the platform is ready, involve other researchers  Seek funding to support this work

9. Sample projects in HFF Trading Agent 1 OlsenOlsen: Trading records by real traders Behaviour reconstruction Trading Agent 2 Fuzzy modelling Trading Agent 4 Behaviour modelling Finance Literature Trading Agent 3 Algorithmic Trading OlsenOlsen: Historic prices Trading Agents submitted by other experts Trading Games Analysis of results Evolving agents