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Formal Verification of Financial Algorithms, Progress and Prospects

Presented by: 
Grant Passmore University of Cambridge
Thursday 13th July 2017 - 11:30 to 12:30
INI Seminar Room 1
Many deep issues plaguing today's financial markets are symptoms of a fundamental problem: The complexity of algorithms underlying modern finance has significantly outpaced the power of traditional tools used to design and regulate them. At Aesthetic Integration, we've pioneered the use of formal verification for analysing the safety and fairness of financial algorithms. With a focus on financial infrastructure (e.g., the matching logics of exchanges and dark pools), we'll describe the landscape, and illustrate our Imandra formal verification system on a number of real-world examples. We'll sketch many open problems and future directions along the way.
University of Cambridge Research Councils UK
    Clay Mathematics Institute London Mathematical Society NM Rothschild and Sons