Tutorial 10: High Frequency Trading and Signal Processing Models for the Microstructure of Financial Markets
Monday, May 27, 9 am-12 noon
Ali N. Akansu, Ilya Pollak
The recent advances in high performance computing and DSP along with low latency networking and storage technologies have transformed the financial industry, and greatly increased its use of signal processing and engineering methods. This progress offers new multi-disciplinary research opportunities in the fields of mathematical finance, DSP engineering, and computing to solve sophisticated and challenging financial problems including risk management, optimal trade scheduling, analysis of financial networks, valuation of complex derivative securities, electronic trading and many others.
This tutorial introduces the essentials of exchanges, market microstructure, and high frequency trading. It describes recent models of limit order book dynamics and market impact of order placement and trading. It discusses some open problems offers engineering insights in these relatively new fields.
Ali N. Akansu
Ali N. Akansu received the B.S. degree from the Technical University of Istanbul, Turkey, the M.S. and Ph.D degrees from the Polytechnic University, Brooklyn, New York, all in Electrical Engineering. Since 1987, he has been with the New Jersey Institute of Technology, where he is a Professor of Electrical and Computer Engineering. Dr. Akansu has administered and managed a number of research programs and product development projects in academia and private sector, funded by the State & Federal Government agencies, and industry. He was a Founding Director of the New Jersey Center for Multimedia Research (NJCMR) between 1996-2000, and NSF Industry-University Cooperative Research Center (IUCRC) for Digital Video between 1998-2000. Dr. Akansu was the Vice President for Research and Development of IDT Corporation. He was the founding President and CEO of PixWave, Inc., an IDT subsidiary. He was an academic visitor at David Sarnoff Research Center, IBM T.J. Watson Research Center and at GEC-Marconi Electronic Systems Corp. He was also a Visiting Professor at the Courant Institute of Mathematical Sciences of NYU. He regularly consults to the industry and legal sector.
Dr. Akansu is widely published and lectures frequently on various research and technology topics, guided theses on signals & transforms, and applications in image/video coding, digital communications, Internet multimedia, information security, and financial signal processing. He is a co-author (with R.A. Haddad) of the book Multiresolution Signal Decomposition: Transforms, Subbands and Wavelets, Academic Press, 1992 and 2001 (2nd Ed.), and a co-editor (with M.J.T. Smith) of a book entitled Subband and Wavelet Transforms: Design and Applications, Kluwer, 1996. He is a co-editor of the book (with M.J. Medley) Wavelet, Subband and Block Transforms in Communications and Multimedia, Kluwer, 1999. He is also a co-author of a research monograph (with H.T. Sencar and M. Ramkumar) Data Hiding Fundamentals and Applications: Content Security in Digital Multimedia, Elsevier-Academic Press, 2004.
Dr. Akansu is a Fellow of the IEEE. He has served as an associate editor of IEEE Transactions on Signal Processing and IEEE Transactions on Multimedia, as a member of the Signal Processing Theory & Methods, and Multimedia Signal Processing technical committees of the IEEE Signal Processing Society. He organized the first Wavelets Conference in the United States in April 1990. He was the technical program chairman of IEEE Digital Signal Processing Workshop 1996, Loen, Norway. He served as a member of the Steering Committee and the Publications Chair of IEEE ICASSP 2000, Istanbul, Turkey. He was the Lead Guest Editor of two special issues of IEEE Trans. on Signal Processing on Theory and Application of Filter Banks and Wavelet Transforms (April 1998), and on Signal Processing for Data Hiding in Digital Media and Secure Content Delivery (June 2003). He was also the Lead Guest Editor of the issue of the IEEE Journal of Special Topics on Signal Processing on Signal Processing Methods in Finance and Electronic Trading (August 2012).
Ilya Pollak received the B.S. and M.Eng. degrees in 1995 and Ph.D. in 1999, all from Massachusetts Institute of Technology, Cambridge, all in electrical engineering. In 1999-2000, he was a post-doctoral researcher at the Division of Applied Mathematics, Brown University, Providence, RI. Since 2000, he has been with Purdue University, West Lafayette, IN, where he is currently Associate Professor of Electrical and Computer Engineering. Since 2007, he has been a consultant with the Strategic Investments Division at Jefferies Investment Advisors, New York. He has held visiting positions at INRIA (The French National Institute for Research in Computer Science and Control) in Sophia Antipolis and at Tampere University of Technology, Finland. His research interests are in signal and image processing and financial engineering.
Dr. Pollak received a CAREER award from the National Science Foundation in 2001. He received Eta Kappa Nu Outstanding Faculty Award in 2002 and in 2007, and Chicago-Area Alumni Young Faculty Award in 2003. He was Lead Guest Editor of the IEEE Signal Processing Magazine Special Issue on Signal Processing for Financial Applications which appeared in September 2011. He is Co-Chair of the SPIE/IS&T Conference on Computational Imaging.