@kirkwy

Open Source Liar’s Poker

Getting hedge funds and investment banks to collaborate using Open Source

Kirk WylieChairman & Co-Founder, OpenGamma

Web Summit 2013 | Dublin

@kirkwy

Who Am I

• OpenGamma

• Finance

• Silicon Valley 1998

2004

2009

@kirkwy

What’s OpenGamma

@kirkwy

What’s OpenGamma

@kirkwy

Open Source software

Capital markets

Contradiction?

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Capital Markets?

@kirkwy

Capital Markets?

• Hedge Funds• Investment Banks• Market Infrastructure• Insurance• …everything that blew up in 2008

@kirkwy

What’s this talk doing on the Developers’ stage?

@kirkwy

Morgan Stanley Sales & Trading

Morgan StanleyIT & Ops

@kirkwy

What goes on in there?

@kirkwy

Basic IT Support

Open source all over:

• Linux• Apache/Nginx• PostgreSQL/MySQL• Puppet/Chef

@kirkwy

Back Office

No Open Source

@kirkwy

“Alpha Generation”

• Algorithmic trading

• Human opinions

• 80/20 rule

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Trading Support

• Custom applications• Excel• Risk• Regulations

• Open Source• Java• Spring• NoSQL• OpenGamma

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• Compliance

• Fear of alpha-generation leakage

• The CFO

They can’t collaborate (directly).

@kirkwy

How do they engage?

• Vendor shield

• Closed-door industry-wide committees

• Consultants

• Informally

@kirkwy

Encouraging Collaboration

• Have a vendor

• Don’t chase tech fads

• Communicate informally

@kirkwy

Useful Links

• A+ – http://www.aplusdev.org/• JQuantLib - http://jquantlib.org/• Marketcetera - http://marketcetera.org/• Quantlib - http://quantlib.org/index.shtml• R - http://www.r-project.org/• Tradelink - https://code.google.com/p/tradelink/

@kirkwy

Further Reading

• Bernstein, Peter L. Against the Gods: The Remarkable Story of Risk. New York: Wiley, 1996.

• Das, Satyajit. Extreme Money: Masters of the Universe and the Cult of Risk. New York: Pearson Financial Times/Prentice Hall, 2011.

• Harris, Robert. The Fear Index. London: Hutchinson, 2011.• Lewis, Michael M. Liar’s Poker: Rising Through the

Wreckage on Wall Street. New York: Norton, 1989.• Lewis, Michael M. The Big Short: Inside the Doomsday

Machine. New York: Norton, 2010.• Taleb, Nassim Nicholas. Fooled by Randomness: The Hidden

Role of Chance in Life and in the Markets. New York: Random House, 2001.

@kirkwy

Photo Credits

• http://www.flickr.com/photos/99067767@N00/255301515• http://www.flickr.com/photos/9186550@N08/3792140072• http://www.flickr.com/photos/8718930@N07/3462607995• http://www.flickr.com/photos/doctorow/2711081060• http://www.flickr.com/photos/justsketchy/6602037631• http://www.flickr.com/photos/drregor/4053799099/• http://www.flickr.com/photos/bilal-kamoon/6835060992• http://www.flickr.com/photos/jdhancock/3582171012

@kirkwy

Thank you.

Kirk WylieChairman & Co-Founder, OpenGamma

@kirkwywww.opengamma.com