No próximo dia 25 de junho, pelas 11h30 na sala FC6 029 do DCC FCUP, José Pedro Magalhães irá dar uma palestra intitulada "Functional Programming in Financial Markets".
A palestra é organizada pelo DCC-FCUP e pelo LIACC.
Short Bio:
José Pedro Magalhães is a Managing Director leading a team of ~45 quantitative developers at Standard Chartered Bank. He is also one of the founders of Chordify.
Before joining Standard Chartered, he was a postdoctoral research assistant in the Programming Languages group at the Department of Computer Science of the University of Oxford, working on the Unifying Theories of Generic Programming project.
Previously he was a PhD student at the Department of Information and Computing Sciences of Utrecht University in the Netherlands. His PhD topic was Real-Life Datatype Generic Programming, supervised by Johan Jeuring, Andres Löh, and Doaitse Swierstra. Before that he graduated from Minho University in Computer Science and Systems Engineering (Licenciatura em Engenharia de Sistemas e Informática).
He has also been a Summer Student at CERN, an intern at Philips Research, and a research intern at Microsoft Research Cambridge.
Title
"Functional Programming in Financial Markets"
Abstract
In this talk we showcase the application of functional programming in a very large industrial setting. At Standard Chartered Bank, Haskell forms the core of a software library supporting the entire Financial Markets (FM), a business line with 5 billion USD operating income in 2023. Typed functional programming is used across the entire tech stack, including foundational APIs and CLIs for deal valuation and risk analysis, server-side components for long-running batches or sub-second RESTful services, and end-user GUIs. Thousands of users interact with software built using functional programming, and over one hundred write their own functional code.
We present the history of how functional programming established itself in FM, including the rationale for having our own compiler and dialect of Haskell. We then focus on how we leverage it to orchestrate type-driven large-scale pricing workflows. The same API can be used to price one trade locally, or millions of trades across thousands of nodes in the cloud. We build upon decades of research and experience in the functional programming community, relying on concepts such as monads, lenses, datatype generics, and closure serialisation.