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SUMMARY:High Frequency Trading on the NYSE Liffe Platform - Paul MacGregor
  (NYSE Liffe)
DTSTART:20120221T110000Z
DTEND:20120221T120000Z
UID:TALK35301@talks.cam.ac.uk
CONTACT:Hugh Christensen
DESCRIPTION:NYSE Liffe (www.euronext.com) is one of the world’s largest 
 derivatives exchanges with 4.5M contracts being traded on an average day\,
  with a notional daily turnover of €470bn. The trading is fully electron
 ic with many participants trading at high frequency\, taking advantage of 
 the liquidity offered by the exchange. A significant amount of this tradin
 g uses algorithmic signal generation methodologies. To support these activ
 ities\, the exchange offers cutting edge technology with its UTP platform\
 , supported by 200 research and development staff. \n \nThis talk will cov
 er the basics of the products offered by the exchange and then go onto loo
 k in detail at the exchange matching engine and its role in the price disc
 overy process. It will then go onto examine how an understanding of the pr
 ice discovery process can lead to the development of prediction algorithms
 .\n
LOCATION:Lecture Room 10\, Baker Building\, Department of Engineering\, Tr
 umpington Street
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