Objective
This project will develop a realistic demonstration of the capabilities of applying HPC to detecting and trading arbitrage in high-frequency financial markets which will be of vital interest to market participants.
The roles of the partners in the project are as follows:
London Business School in collaboration with Reuters have already developed a set of pricing relationships that are often violated in the Foreign Exchange, Equity, and Fixed income market. A comprehensive set of zero-risk arbitrage conditions will be delivered for each market to the other partners to achieve the basic objectives of the HAT project.
Dresdner Bank, BNP, and Hughes Financial Analytics will take delivery of these zero-risk routines and, with each partner concentrating on one specific market, will gather market data. When parallelised routines become available, they will evaluate the areas where the new technology could provide them with added value.
The IT partners, Intrasoft and Parsytec will provide the hardware and software for i) connecting to Reuters datafeeds ii) checking for integrity iii) implementing in real time iv) logging violations and v) providing interfaces with alarm generators for risk management. The institutions will paper-trade the system for a period of one year and will assess the risks involved in using it.
Reuters will lead the work associated with defining user requirements. It will also take prime responsibility for the subsequent marketing of the HAT Project's results. The deliverables will be productised and exploited using Reuter's established marketing and distribution channels by offering a high performance product as an add-on service to Reuters' Markets 2000 and 3000 product-lines.
Fields of science (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques.
- natural sciencescomputer and information sciencessoftware
- social sciencessociologygovernancecrisis management
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Call for proposal
Data not availableFunding Scheme
CSC - Cost-sharing contractsCoordinator
60301 Frankfurt
Germany