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For Application Development & Delivery Professionals

Complex Event Processing In A Quant World

A Case Study Illustrating The Practicalities Of Introducing CEP

August 25, 2008

Authors

  • By Charles Brett
  • with Mike Gilpin,
  • David D'Silva

Why Read This Report

Robert Almgren is a co-founder of Quantitative Brokers, a company that is extending the reach of complex event processing (CEP) from its conventional uses in the equity sector into non-equity trading. Before founding this startup, Dr. Almgren was head of quantitative strategies at a major investment bank using CEP to build agency algorithmic trading strategies for equities. Before that, he was a professor of mathematics and computer science at the University of Toronto and a consultant to Citigroup on equity transaction cost measurement. He is currently an adjunct faculty member at New York University, where he teaches time-series analysis for financial applications. In this case study, he discusses CEP and what is needed for its successful deployment. Of particular relevance to application development professionals is that he draws out the need to understand the "event environment" and what this offers before "rushing into code." We present Dr. Almgren's story in his own words.

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Table of Contents

  • Why CEP Is Relevant To A Quant World
  • Applying CEP To Smaller-Cap Algorithmic Trading
  • Extracting Best Practices And Lessons Learned From Experience
  • Related Research Documents