Notes from LMAX Conference: Innovation & Algorithmic Trading
The conference opened with a brief overview of LMAX, followed by Dan Brown talking about the Financial Computing course at UCL. It was interesting to hear about the simulation platform that has been developed by UCL for education purposes, coupled with the virtual trading floor. The simulation platform offers R and Matlab, aggregation and real-time data processing, rapid prototyping, black box models, and multiple models.
Optiver offered a nice talk on how the trading world have changed (pit trading etc), and how the development of strategies occurs with Optiver.
Peter McBurney talked on Market Based Control and the CAT Tournament
David Cliff offered a very lively talk – best talk of the conference. ZIP amd MGD algorithms 
Genetic Algorithms. Auctions. CDA. Shame about the confidentiality clauses 
Normalisation of Deviance. May 6th 2010 – Dow drop. Fools Gold Gillian Tett. Networked Governance in the Global Financial Markets. BIS Foresight
Martin Thompson (LMAX CTO) offered sight into LMAX Technology and API. Folklore – Thread Scaling (CAS), Queue, Batch. Open sourcing of Java collection classes, disrupter framework etc happening soon
