The blog of the F# team at Microsoft
Three days until F# in Finance in London on Monday, 25th November. Brought to you by Microsoft and Fountainhead Labs.
F# in Finance (registration)
Date: Monday 25th November 2013, 8:00am to 6:15pm.
Venue: Microsoft, Cardinal Place 80-100 Victoria St, London, SW1E 5JL.
Twitter: @FountainheadLab, #FSharpInFinance
Why you should attend: This event is at the intersection between cutting-edge technology and cutting-edge finance, and functional programming is very much on the rise in finance. This is one technology wave you will want to catch and not let pass you by. Start paddling now! See you at "F# in Finance".
~~~ Registration, Welcome & Keynote ~~~
08:30-08:40 Welcome Address
08:40-09:20 Keynote address: "Functional Finance" by DON SYME, MICROSOFT
Use of functional languages in finance are on the rise, and for good reason! Ever since the financial crisis of 2007/8, financial developers have had to deliver more, with less; and in a time frame that is shorter than ever before. Moreover, technology has always been a driver in finance. Now with Big Data, low-latency, electronic trading, mobility and financial stability on everyone's mind, performance and robustness matter more than ever before. Functional languages are delivering on every level.
~~~ Part 1: Functional Finance ~~~
09:20-10:00 "Why functional? Why F#? Why in finance?" by JON HARROP, F# JOURNAL
This talk explores the rise of functional programming in finance, why it's gained relevance, and the power of F#. Functional languages are being used to solve problems that could not be solved before. In this talk, the power of F# is demonstrated by a custom business rules engine now in production with one of the world's largest insurance companies. Rather than making incremental improvements by rewriting legacy solutions, using F# their entire delivery process was overhauled. Software updates that used to take at least 9 months, cost over £1m and involve dozens of people can now be done in minutes by a single non-technical person at minimal cost to the company. F# was the tool that made this possible.
10:00-10:40 "A tour of F#, with applications in finance" by PHIL TRELFORD, TRAYPORT
In this whirlwind tour of F#, you will see how F# is currently being applied in finance and what languages features are particularly useful in financial problem solving (e.g. DSLs).
10:40-11:00 Break and time to mingle
~~~ Part 2: Big Data, Big Compute, and Cloud with F# ~~~
11:00-11:40 "F# and Financial Data: Making data analysis simple" by TOMAS PETRICEK, BLUE MOUNTAIN CAPITAL
If there was ever a "poster child" for complex and demanding data tasks it should be finance. Financial data is often ugly, complex and big! Simplify your data analysis by using F#. This talk focuses on the open-source data analysis package "Deedle", which provides tools for data and time-series analysis.
11:40-12:20 "F# and GPUs: speed, speed, speed!" by DANIEL EGLOFF, QUANTALEA
The joke in real estate is that there are only three things of importance: location, location, location! In the fast moving world of financial markets it's speed, speed, speed! GPU compute accelerators are finding wide application in pricing and risk, and wherever else speed is a competitive advantage. Now its easy to tap into GPU compute power with F#.
12:20-13:00 "F# in the Cloud: running F# at scale" by YAN CUI, GAMESYS (formerly CREDIT SUISSE)
There was a time when the Cloud was a destination for data: push it up, do work, pull it down. Now, with Big Data being so "Big", it's too expensive to move the data, so Cloud is where Big Data belongs and the Cloud is becoming the source rather than the destination for data. F# + Cloud is compelling because you get two great technologies whose benefits are not additive, but multiplicative!
13:00-14:00 Lunch and time to mingle. Bonus lunchtime talk: "Using F# with Excel" by ADAM MLOCEK, STAT FACTORY
Excel remains the front-end-of-choice in finance. Whether it's on the trading desk, middle office, or the risk department, you will find Excel as pretty much the preferred choice of people who simply need to "get things done". Combining F# with Excel marries a great front-end to a way of extending Excel that knocks the socks off VBA!
14:00-15:00 Expert Panel. Moderator: ANDREW SHEPPARD.
Listen to a panel of experts give their insights and opinions on functional languages in finance followed by Q&A with the audience.
16:40-17:20 "Using F# to build an Early Warning Indicator System for Liquidity Risk" by STEPHEN CHANNELL
Early Warning Indicators is a standalone dashboard application to monitor real-time market movements and highlight potential risk for further analysis. EWI subscribed to real-time equity, Forex and commodity prices and needed to calculate Red/Amber/Green status in real-time for tolerance breaches and to generate dashboard reports as needed.
15:40-16:20"F# for Machine Learning: finding profitable patterns" by MATT MALONEY, TSUNAMI.IO
With Big Data in finance comes new opportunities to discover market inefficiencies and profitable trading opportunities. But you'd better be quick! Such opportunities don't last, so you'd better find them quickly and the speed of development of F# can help.
16:20-16:40 Break and time to mingle
~~~ Part 4: Trading and Risk ~~~
16:40-17:20 "Using F# on the trading desk: better, faster, quicker" by ANDREW SHEPPARD, FOUNTAINHEAD
Trading desks have always been about being better, faster and quicker than everyone else. Not just faster to execute, but also better and quicker at iterating to the next new opportunity. And it's a winner-take-all game: high stakes, high pressure. F# can help give you an edge.
17:20-18:00 "F# for Managing Risk: a DSL risk language" by MICHAEL JONES, SIGMAFI
The regulatory environment is becoming tougher with the regulators requiring financial institutions to run more and varied economic scenarios; scenarios which often don't fit naturally into the risk sensitivity framework of the institutions. This talk describes how the use of an embedded domain specific language (EDSL) developed using F# for describing risk scenarios allows for both the description of standard trading risks and those more complex economic scenarios, in an easy, type-safe and flexible manner.
18:00-18:10 Wrap-up and prize giving (must be present to receive prize).
Register for F# in Finance (London)
Don, will it be recorder?
Here in Australia we'd like to watch it too! :)