FINTEGRATIO | Automated Reasoning in Finance

EDIT: This site was active until 2019. It now serves as a time capsule.

This site contains recent (disclosed) results regarding automated reasoning in the field of finance. Everything starts with symbolically specifying the building blocks of the cornerstone concepts in finance (financial contracts, stock exchanges, virtual currency models, decentralized exchanges, etc.). Besides discovering the right way to formalize elements of finance, this approach (ideally) enables reasoning about relevant properties in a systematic, trustable and (partially) automated way.

RESEARCH

Composing contracts: an adventure in financial engineering, by Peyton-Jones, Eber and Seward → PDF or search here

TALKS

Beyond Valuation, keynote by Jean-Marc Eber (of LexiFi)

OTHER RESSOURCES

(source code, white papers, patents...)

AUTOMATED TRADING SYSTEMS

by Aesthetic Integration

Technical white papers by Aesthetic Integration - Ignatovich and Passmore:

→ Creating safe and fair markets

→ Transparent order priority and pricing

→ C ase study: 2015 SEC fine against UBS ATS

Public comments to regulatory proposals by the SEC and CFTC can be accessed at SEC.gov → here and here; CFTC.gov → here.

Imandra Protocol Language (IPL) documentation → here

Public comment on IEX's application to become a SEC regulated exchange → here (other comments on IEX here)

The patent itself, from March 2016, is available in PDF → here.

Recent slides → here.

Formal specification of Ethereum Virtual Machine (EVM) in ImandraML reasoning engine - available at GitHub repository → here.

COMPOSING CONTRACTS

by LexiFi

TBA.

Certified symbolic management of financial multi-party contracts, by Bahr, Berthold and Elsman → PDF or search here

Language: OCaml, MLFi

Year 2013.

Composing Contracts – An Adventure in Financial Engineering, by Simon Peyton-Jones (of Microsoft Research Cambridge)

Compositional specification of commercial contracts, by Andersen, Elsborg, Henglein, Simonsen and Stefansen → PDF or search here

Language: OCaml, Haskell

Year 2008.

Haskell at Barclays: Exotic Tools for Exotic Trades, by Tim Williams (of Barclays Capital) → Talk and slides

A Software Language Approach to Derivative Contracts in Finance, by Gaillourdet → PDF

Commercial uses: Going functional on exotic trades, by Frankau, Spinellis, Nassuphis and Burgard → PDF or search here

Language: Haskell

Year: 2013.

Towards Imandra Contracts: Formal verification for Ethereum, by Grant Passmore (of Aesthetic Integration)

Contract Formalisation and Modular Implementation of Domain-Specific Languages, PhD thesis by Hvitved → search here

Language: OCaml

Year 2015.

Imandra Contracts Formal Verification for Ethereum, by Grant Passmore (Aesthetic Integration)

A Logic Model for Electronic Contracting, by Lee (1988) → PDF or search here

Languages/tools: OCaml, Imandra, IML

Year 2016.

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