Hanweck Associates, LLC High Performance Financial Analytics

Transcription

1 Hanweck Associates, LLC High Performance Financial Analytics

2 Q: What is the biggest problem facing financial markets today? A: High-performance, real-time risk management. Why is this a problem? Markets and products are increasingly complex and interconnected Greater regulatory requirements High correlation risk and systemic risk (too big to fail, contagion)

3 Q: What is the biggest problem facing financial markets today? A: High-performance, real-time risk management. Why is this a computational problem? Quant finance models are computationally intensive and data hungry Extremely short decision time frames Grid-computing infrastructure is expensive!

4 The Flash Crash: May 6, 2010 U.S. stock market plummeted 6.3% in 10 minutes! :30 AM 9:45 AM 10:00 AM 10:15 AM 10:30 AM 10:45 AM 11:00 AM 11:15 AM 11:30 AM 11:45 AM 12:00 PM 12:15 PM 12:30 PM 12:45 PM 1:00 PM 1:15 PM 1:30 PM 1:45 PM 2:00 PM 2:15 PM 2:30 PM 2:45 PM 3:00 PM 3:15 PM 3:30 PM 3:45 PM Index level OPEN.VALUE HIGH.VALUE LOW.VALUE CLOSE.VALUE

5 Financial Crisis: 2008 Euro jumped 7.6% against the dollar in three days EUR-USD /1/08 12/3/08 12/5/08 12/7/08 12/9/08 12/11/08 12/13/08 12/15/08 12/17/08 12/19/08 12/21/08 12/23/08 12/25/08 12/27/08 12/29/08 12/31/08

6 The Consequences Still today, many major financial institutions lack effective real-time risk management

7 Hanweck Associates: Background Founded in 2003 by Gerald A. Hanweck, Jr., PhD, former chief equity derivatives strategist at J.P. Morgan. Hanweck Associates is a leading provider of high performance, real-time risk analytics as a service to top financial institutions: Investment Banks Hedge Funds Prop Trading Asset Managers Insurance Companies Automated Market Making Pension Plans Mortgage Servicers Risk Managers Hanweck Associates Volera GPU-accelerated analytics engine pioneered the use of GPUs in the financial industry.

8 Hanweck Associates: GPU-Accelerated Risk Solutions Real-time, low-latency datafeed of options implied volatilities and greeks covering global markets, powered by Hanweck Associates Volera GPU-accelerated engine. VoleraFEED powers: TM ISE Implied Volatility & Greeks Feed Premium Hosted Database TM Hosted historical and real-time tick-level database service of equity and options prices and analytics, with 300+ TB of data stored in an enterprise-scale cloud. Data-and- Analytics-as-a-Service paradigm. In partnership with Options Analytics High-performance, real-time, large-portfolio pre/post-trade risk and portfolio margining, powered by Hanweck Associates Volera GPUaccelerated engine. TM Options Volatility Service TM Historical, end-of-day options analytics database covering more than 6,000 U.S. companies over the past 12 years. In partnership with

9 Hanweck Associates: GPU Accelerated Risk Solutions Hanweck Associates GPU-accelerated, high-performance risk solutions offer financial professionals powerful, real-time risk management functionality: 10x faster dollar-for-dollar than conventional computing. 10x faster means: overnight over lunch over lunch get a cup of coffee get a cup of coffee don t blink! Faster risk measurement. Tighter risk controls. Reduced total cost of ownership.

10 Copyright 2013 Hanweck Associates, LLC. All rights reserved. Additional information is available upon request. This presentation has been prepared for the exclusive use of the direct recipient. No part of this presentation may be copied or redistributed without the express written consent of the author. Opinions and estimates constitute the author s judgment as of the date of this material and are subject to change without notice. Information has been obtained from sources believed to be reliable, but the author does not warrant its completeness or accuracy. Past performance is not indicative of future results. Securities, financial instruments or strategies mentioned herein may not be suitable for all investors. The recipient of this report must make its own independent decisions regarding any strategies, securities or financial instruments discussed. This material is not intended as an offer or solicitation for the purchase or sale of any financial instrument.