Numerical Algorithms Group (NAG) * Oxford University * Sun Microsystems' * IBM Data Management Solutions * Informix Products * Market Information Services (MIS) * Reuters
Supporting Financial Markets:
Unique Finance Research Centre has been launched by The Chief Secretary to the Treasury and The Deputy Governor of the Bank of England
Academia and Industry work together to underpin advanced financial modelling and computation
An unique Centre for Computational Finance based at Oxford University, known as OCCF, was launched by the Chief Secretary to the Treasury and the Deputy Governor of the Bank of England, on Wednesday 10 October 2001. Designed to support the world's financial markets through development of mathematical theory, organisations will be able to benefit from OCCF's capacity to analyse real-time data and study the complexity of the dynamics emerging from today's markets. This will facilitate faster reaction to extreme market events, such as predicting and dealing with market crashes, and evaluating all forms of operational risk.
Andrew Smith, Chief Secretary to the Treasury, and David Clementi, Deputy Governor of the Bank of England, addressed guests at the launch event on topics such as financial stability and regulation. Such issues lie at the heart of the world's financial system and are under active investigation within OCCF. Senior figures from the Centre's partners presented an overview of the role of OCCF and its workings, and discussed the importance of computational finance in the world of City trading. OCCF is a collaboration between the Oxford Departments of Physics, Maths and Computing and has been established with the support of three founding industrial partners: IBM Data Management Solutions Informix Products, which has provided the real time data management infrastructure, The Numerical Algorithms Group (NAG), responsible for providing the analytical and visualisation software and Sun Microsystems', which has provided the UltraSPARC based hardware platform and associated software. Market Information Services (MIS) and Reuters also play a pivotal role in the initiative, providing the integration services and data feeds respectively.
The Centre's research in econophysics will involve the real time download of live data from the financial markets, provided by Reuters and integrated by Market Information Services. This data will form the basis of an on-going experiment, with the Centre acting as a virtual laboratory, looking for significant patterns to indicate how the mechanism might be operating. A trial 'artificial market' has already been simulated using this live data and played against by traders at a City bank. This experiment has indicated that econophysics models may be able to compute the risks inherent in major transactions, enabling banks to weigh up the extent of their exposure and plan their strategy accordingly.
For organisations looking to undertake specific confidential research, sponsorship of doctoral and post-doctoral research is available at OCCF, with the results remaining within the domain of the sponsor.
Says Director of OCCF, physicist Dr Neil Johnson: "The econophysics method of analysing financial markets is still evolving and the launch of Oxford Centre for Computational Finance consolidates Oxford University's position at the forefront of research in this area. Many of our graduates and undergraduates are now taking the opportunity to study econophysics ' bringing the lab directly into a whole new world of city trading."
Industry companies involved in OCCF comment:
NAG "We are delighted to have instigated the formation of the Oxford centre for Computational Finance, by bringing together three outstanding NAG partners," says Dr Brian Ford OBE, Director of NAG. "NAG has seen major growth in the use of its software in financial analysis over the past few years as the financial community has employed increasingly sophisticated numerical analysis in its daily work. We see the formation of OCCF, and its multi-disciplinary approach, as a catalyst for study and technical innovation in trading strategies and risk management within the global financial markets."
Sun Microsystems' Greg Stroud, VP Sun Microsystems, UK and Ireland, comments: "Sun Microsystems has 20 years experience in both the education and the finance markets across the world, making us the ideal hardware platform provider for OCCF. The OCCF solution comprises over 100 UltraSPARC CPU's, tightly coupled into a computational grid. This platform offers the centre unbeatable levels of performance, availability and reliability, and allows the Centre to scale up its solution as the demand grows."
IBM Data Management Solutions Pierre Pourquery, Head of Risk Management, EMEA, at IBM says "We are delighted to have such an active role in OCCF. Our very significant database software investment at the Centre shows our commitment to supporting commercial institutions and regulatory bodies through computationally-based finance research. It is through such demanding collaboration with OCCF and our partners, that we can ensure our database platform continues to be the best for real-time high performance computational finance."
MIS Ian Hillier-Brook, managing director of Market Information Systems comments: "We are very pleased to be a partner of OCCF and we are confident that MIS and our clients will benefit from the association." Tom Daglish, vice president Global Portfolio Analytics, Merrill Lynch, says: "We have already been able to break new boundaries in real time data acquisition and analysis with MIS's systems and we are sure that OCCF's work will further add value to this."
Reuters Robert Jeanbart, Managing Director, Reuters UK and Ireland comments: "The alliance between Reuters and OCCF represents an unique opportunity for us to participate in cutting edge research into market behaviour and risk dynamics with both academia and our major customers."