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UCL Financial Computing and Analytics
A world centre for Financial Computing research and teaching
A world centre for Financial Computing research and teaching


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FEW PLACES LEFT for UCL/IEEE Spring School in Financial Computing and Analytics, March 29 – March 30, 2014 -- register now!

More information at

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Financial Computing and Analytics Research Seminar 5th March

The Financial Computing and Analytics research seminars are aimed at exploring the interface between academia and the financial industry, and our next seminar is presented by two distinguished speakers whose complementary work is positioned within that challenging interface.

When and where: Wednesday 5th March from 4pm in Auditorium Chandler 118, University College London, Chandler House, 2 Wakefield Street, London WC1N 1PF.

Talk 1

Presenter: Edward Tsang, CCFEA, University of Essex
Title: Directional Changes: a new way to look at market dynamics

Abstract: This talk explains a new concept called Directional Changes and how it helps to study financial markets. When history is recorded, one does not report the situation at the end of each day, each month or each year. One records significant events. Yet most researchers record market price movements with snapshots; for example, daily closing prices are used. Richard Olsen proposed an event-based approach to summarize price movements, based on a concept called Directional Changes. A directional change is defined by a threshold that the observer cares about, e.g. 5%. An r% directional change is basically a price change of r% from the last peak or bottom price. For any given threshold, the observer will summarize price movements by linking up the extreme points between directional changes. This new concept provides traders with new perspectives to the market, as demonstrated by Olsen Ltd in foreign exchange trading. It also enables researchers to discover new regularities in markets.

Presenter bio: Edward Tsang holds a first degree in Finance and a MSc and PhD degree in Computer Science. He is the Director of Centre for Computational Finance and Economic Agents (CCFEA), an interdisciplinary research centre which he co-founded in October 2002. He has international reputation in artificial intelligence. He is well known for his research in constraint satisfaction (a branch of combinatorial optimisation for decision support and scheduling) and computational finance and economics. His book on constraint satisfaction is the most cited literature on the subject. He founded the Technical Committee in Computation Finance and Economics in IEEE's Computational Intelligence Society in 2004. Edward Tsang's research is highly industry-relevant. He has given consultation to GEC Marconi, British Telecom, Honda Europe, Causeway, Old Mutual Asset Managers, Allianz RAS and other organizations.

Talk 2

Presenter: Richard Olsen, Olsen Ltd & CCFEA, University of Essex
Title: From an event-based definition of time to the discovery of scaling laws

Abstract: In time series analysis a researcher's choice of time scale impacts his observations. I argue that we need to change the approach and replace the exogenous time scale with an intrinsic time scale. I introduce an event based definition of time and show how this approach brings to light scaling laws that have not been reported before. The scaling laws can be used to develop a new class of economic and financial models. The talk concludes with a pitch to rethink the foundations of classical economics and come up with a relativity theory of economics.

Presenter bio: Dr Richard Olsen holds a Licentiate in Law from the University of Zurich, a Master's in Economics from Oxford University, and a PhD from the University of Zurich. He worked in banking as a researcher and foreign exchange dealer before founding Olsen and Associates in 1985. Olsen is the Chairman and co-Founder of OANDA, a leading provider of currency-related tools and services; in 2001 OANDA opened FXTrade, the first fully automated online foreign exchange trading platform. For more than 20 years Olsen has led research in the emerging field of "high-frequency finance." Unlike pure R&D shops, Olsen has developed real-time trading models based on their research and put their theories to the ultimate test—in the marketplace.

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UCL/IEEE Spring School in Financial Computing and Analytics
March 29 – March 30, 2014

Course Directors:      
Dr Tomaso Aste, Head Financial Computing and Analytics Group, University College London, United Kingdom
Dr Antoaneta Serguieva, Member Financial Computing and Analytics Group, University College London, United Kingdom; Member Computational Finance and Economics Technical Committee,  IEEE Computational Intelligence Society
Prof Uzay Kaymak, Chair Computational Finance and Economics Technical Committee,  IEEE Computational Intelligence Society

Limited to 30 places -- register soon!

More information at

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Inaugural Seminar of the UCL Financial Computing and Analytics Group

Presenter: Don Syme, Principle Researcher, Microsoft Research,

Topic: A World of Financial Data at your Fingertips, Strongly Tooled and Strongly Typed

29th January from 4pm in Auditorium Chandler 10, University College London followed by networking and nibbles from 5:30pm (expected end-time 7pm).

This event is supported by the Analytics Network of the Operational Research Society,

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Call for Participation CIFEr 2014 Trading Competition

Registration and Key Dates
The competition is open to all, independent of registration for CIFEr 2014.

- Registration Opens - 11 December 2013
- Trading Opens - 13 January 2014
- Trading Closes - 24 February 2014
- Winners Announced - 28 February 2014

The following prizes will be awarded at the CIFEr 2014 banquet:

- First Prize - £1000
- Second Prize - £500
- Third Prize - £250

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Research Associate/Senior Research Associate in Systemic Risk
Department of Computer Science, UCL, London

We are looking for an outstanding researcher with expertise in: financial risk modelling, statistical analysis of financial data, complex networks, market microstructure studies. The appointee will contribute to a research project on financial risk together with researchers at the Systemic Risk centre ( The appointee will work with members of the Financial Computing and Analytics (FCA) group at UCL ( The researcher’s tasks will concern data analytics, modelling, simulations including development of computational tools and building and managing large datasets.

The post is funded for two years in the first instance.

Closing date 9 Jan 2014.

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SEMINAR Mon 9 Dec, 1pm, 6.12, Malet Place Engineering Building, UCL Bloomsbury Campus:

Expected Shortfall, the New Regulatory Risk Measure: Merits, Shortcomings and Remedy

Imre Kondor
Parmenides Foundation

The Basel Committee advocates the use of Expected Shortfall (ES) as the new regulatory risk measure. This talk will briefly review the history of risk measures appearing in the subsequent generations of international banking regulation, their relative merits and shortcomings, with special emphasis on ES. When these measures are used to predict the out-of-sample risk or to optimize portfolios they all display a weakness due to the relative scarcity of data compared to the size of institutional portfolios. The resulting estimation errors can be very large, in fact, for some critical values of the parameters they can diverge, with the optimization algorithm undergoing a phase transition. The estimation error problem is particularly serious for downside risk measures, such as ES. Regularization, borrowed from statistical learning theory, offers a remedy.

EXTENDED DEADLINE for IEEE Computational Intelligence for Financial Engineering & Economics, Mar 27-28, 2014, London, UK: DEADLINE NOW 24 NOV 2013.

Information for authors can be found at

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Upcoming at UCL: IEEE Computational Intelligence for Financial Engineering & Economics, Mar 27-28, 2014, London, UK. First call for papers can be found here:

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"Traders tap Twitter for top stock tips" - FT takes a look at the work of UCL PhD student Ilya Zheludev:
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