Invited Plenary Talk, 11:15 am- 12:00 pm, Wednesday, July 6

Electronic trading: A data intensive discovery

Abstract

The everlasting advances in high performance digital signal processing and grid computing along with low latency internetworking and network computing coupled with affordable high speed real time - storage media have transformed financial industry into an IT-centric sector. The structural progress has already made advanced signal processing methods and engineering solutions developed for other technologies ready to be deployed for quantitative finance problems to create more efficient markets. This rapid change has enabled professionals to develop more sophisticated financial trading tools and systems to explore potential market inefficiencies to generate attractive returns for investors.

This talk will highlight fundamentals of Electronic Trade Engineering including market microstructure, exchanges and infrastructure. The basics of investment risk and hedging for arbitrage trading in multiple frequencies will be discussed. Flash Crash of May 6, 2010 will be analyzed. The talk will be concluded with remarks on the current status and future of electronic trading.

Bio

He is a Professor of Electrical & Computer Engineering at the New Jersey Institute of Technology.  He received his Ph.D. from the Polytechnic University, Brooklyn, NY in Electrical Engineering in 1987.  He was the VP for R&D of IDT Corporation, the founding president and CEO of PixWave, Inc., and SVP for Technology Development of TV.TV.  He sits on the boards of a few companies, and an investment fund. Recently, he was a Visiting Professor at the Courant Institute of Mathematical Sciences at New York University.  His current research interests include high performance digital signal processing and computing for data intensive discovery, high frequency trading algorithms and technology development.  He is a Guest Editor of the IEEE Journal of Selected Topics in Signal Processing, for the upcoming special issue on Signal Processing Methods in Finance and Electronic Trading.  He is a Fellow of the IEEE.