Center for Innovative Financial Technology
To help build a bridge between the computational science and financial markets communities, the Center for Innovative Financial Technology (CIFT) has been established in the Computational Research Division at Lawrence Berkeley National Laboratory.
David H. Bailey is the Director of CIFT, and a Senior Scientist at LBNL. He is a leading figure in both the high-performance scientific computing and computational mathematics fields. He is the author of five books and more than 160 research papers. His contributions have been recognized with several major awards, including the Sidney Fernbach Award from the IEEE Computer Society, the Gordon Bell Prize from the Association of Computing Machinery, and the Chauvenet Prize and the Merten Hasse Prize from the Mathematical Association of America. In the mathematical finance field, he has co-authored four papers with his colleague Marcos Lopez de Prado, who is with Tudor Investments and also an affiliate with LBNL: see Bailey's paper site for details.
|
|
"The recent explosion in ever-more-sophisticated automated trading programs has injected a new and little-understood element of instability into the world of finance and investment, which begs to be better understood. The high-performance computing and financial mathematics communities have much to offer here." — David H. Bailey, Director, CIFT. |
David Leinweber was a Haas Fellow in Finance at UC Berkeley before joining Berkeley Lab in 2010. Leinweber, has a Ph.D. in applied mathematics from Harvard University, may be best known as the author of "Nerds on Wall Street: Math, Machines, and Wired Markets" published in 2009. The Computational Research Division creates computational tools and techniques that enable scientific breakthroughs, by conducting applied research and development in computer science, computational science, and applied mathematics. He authors a blog at Forbes on financial markets and related topics.
|
|
"Security and stability of markets is a national security issue of the first order. This has been made clear by recent events on both macro and micro time scales.We hope this center will stimulate discussion of these topics, and lead to a larger role for advanced computing researchers in understanding markets that have become advanced computers," — David Leinweber, Co-founder of the Berkeley Lab's Center for Innovative Financial Technology |
CIFT Researchers bring a substantial breadth and depth of experience in super computing, data intensive science, visualization, financial engineering, and computer security to the study of modern markets.
 |
Financial markets have evolved into high-speed complex systems that play a central role in our nation's—and the world's—economy. Many of the challenges facing the market— security, stability and monitoring—are similar to those in other complex systems where Berkeley Lab is applying its computational expertise. We view this as another strong opportunity to address a problem of great importance to our country," — Horst Simon, Deputy Director for Lawrence Berkeley National Laboratory. |
It is striking how many themes in scientific computing and networking are directly relevant to issues faced by participants in financial markets, and to governments that seek to understand, monitor and regulate them. Example of overlapping areas of interest include: Understanding Complex Systems, Simulations Driving Next Generation Technology, Discovery through Visualization, Real-time Analytics, Robust Adaptive Systems and Network Security. In the HPC context, these themes are discussed in the context of applications in many fields, such as physics, chemistry, material science, biology, climate and energy.
It is also striking how, in quite a large stack of publications focusing on high performance computing, there is no mention of markets, despite their intimate relations to technology, and common basis in high-speed large-scale information processing. Advanced computing has a great deal to offer to the world of markets, and market participants of all flavors have a great deal to gain by closer relationships with the advanced computing research community.
Financial markets and high performance computing research are a natural fit in many ways. Markets are a rich area for research. Their data volumes are huge, and their real-time requirements are at the edge of technological capabilities.
CIFT Advisors and Affiliates
Ted Aronson, Principal, AJO Partners, former CFA Institute President
Dr. Aaron J. Lebovitz, Principal, Infinium Capital Management
Dr. Richard R. Lindsey, President and Chief Executive Officer, Callcott Group LLC
Dr. Marcos Lopez de Prado, Head of Quantitative Research, Tudor Investments
