1. NEHAL PATEL GMO OCTOBER 21, 2008 ProActive for Algorithmic Trading

2. Algorithmic Trading at GMO What we do: Introduction to our business High-level grid/distributed computing goals ProActive

3. What we do Our Business: Invest money for clients Methodology: “Algorithmic Trading”  Computers  Math  (some ) Finance Our Team: 12 members based in Boston and Minsk  Educational background: Math, Physics, Computer Science  Work Experience: Finance, Academics, Biotech, Internet startups

4. Current Environment Trades Currencies and futures on 24 hour, continuous basis ~4000 trades a day, $10 billion, 9 banks Two data centers, ~200 nodes, dozens processes

5. Motivation Basic Problem: How can you make money using computers for investing? Basic Wisdom  Trade frequently, but smartly /Law of Large Numbers  Ideas last for months not years  Agility, Creativity  Find the right edge  Math and CS are equally important  Embrace complexity, don’t sacrifice robustness

6. Methodology Mathematics  Machine Learning/Data mining (Like Biotech, Web)  Dynamic Programming (Like Airline Scheduling) Computer Science  Java (~750,000 lines)  Emphasis on infrastructure  Utilize open source  Data Sets: 4-5 Terabytes  Real-time, Event processing: ~30K messages/s

7. Algorithmic Trading at GMO What we do: Introduction to our business High-level computing goals ProActive

8. Distributed Computing Tasks Real-time Stochastic Control Complex Event Processing Real Time Statistical Analysis Data Mining Large Datasets Batch Processing Historical Simulation

9. Distributed Computing Goals Style  Distributed Objects living in a sea of multicast data  Lightweight  Agile Features  Scalability  P2P / Data Push-Pull  Same Code both simulation and production

10. Algorithmic Trading at GMO What we do: Introduction to our business High-level distributed computing goals ProActive

11. Attractive Features POJOS  Separation of Concerns  High Speed simulation Toolset Focus Rapid Deployment Dynamic byte code

12. ProActive Consulting with ActiveEon  Low Level Architecture Topics:  Performance  More Transparency for POJOs