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SIGMOD Keynote Talk 1

Big Data in Capital Markets

Alex Nazaruk (Middle Lake Partners, LLC) and Michael Rauchman (Middle Lake Partners, LLC)

Abstract

Over the past decade global securities markets have dramatically changed. Evolution of market structure in combination with advances in computer technologies led to emergence of electronic securities trading. Securities transactions that used to be conducted in person and over the phone are now predominantly executed by automated trading systems. This resulted in significant fragmentation of the markets, vast increase in the exchange volumes and even greater increase in the number of orders.

In this talk we present and analyze forces behind the wide proliferation of electronic securities trading in US stocks and options markets. We also make a high-level introduction into electronic securities market structure. We discuss trading objectives of different classes of market participants and analyze how their activity affects data volumes. We also present typical securities trading firm data flow and analyze various types of data it uses in its trading operations.

We close with the implications this "sea change" has on DBMS requirements in capital markets.

Bio

Alex Nazaruk has over 20 years of IT and Database Management systems engineering experience. His career includes over 14 years focusing on full cycle development and operations of Big Data systems for the financial services industry. He has demonstrated leadership in devising enterprise data strategies and in building and managing world-class data capability for leading global securities trading firm. In addition, Alex has served as an investor, advisor and consultant to multiple startups in the technology arena. Alex’s broad experience includes building and managing petabyte-scale data processing and computing systems with extreme performance requirements. He also has a proven track record of building multi-disciplined data platform teams and leading them in meeting delivery and investment targets.

Michael Rauchman has over 25 years of experience as a business leader and technologist. Most recently (2001-20012) Michael served as a member of the Senior Management Team for GETCO, a pioneer electronic trading firm. There he held the position of Chief Technology Officer as well as Global Head of Foreign Exchange Trading, Head of Americas Equities Trading and Technical Architect. As a detail-oriented hands-on leader Michael was central to development of many trading strategies as well as the underlying software architecture and code.