SOLICITATION NOTICE
R -- Analysis of algorithmic trading strategies in electronic markets
- Notice Date
- 9/9/2010
- Notice Type
- Presolicitation
- NAICS
- 541990
— All Other Professional, Scientific, and Technical Services
- Contracting Office
- Commodity Futures Trading Commission, Office of Financial Management-Procurement, Procurement Operations and Policy, Three Lafayette Centre, 1155 21st Street, N.W., Washington, District of Columbia, 20581
- ZIP Code
- 20581
- Solicitation Number
- CFCE-10-SO-0224
- Point of Contact
- Kathryn M. Rison, Phone: 2024185000
- E-Mail Address
-
krison@cftc.gov
(krison@cftc.gov)
- Small Business Set-Aside
- N/A
- Description
- The Commodity Futures Trading Commission (CFTC) intends to award a sole source purchase order under FAR Part 13 to Steven Yang of McLean, VA. The period of performance will from date of award through 12 months. Steven Yang will provide necessary expertise during the Commission's development of advanced market surveillance systems as well as conduct advanced mathematical modeling and analyses of the large amount of market surveillance data. Further Mr. Yang will conduct necessary analyses while aiding in the Commission's development of successor databases which include not only the large trader position and trade transactional data but also order data. The Commission envisions that successor databases will facilitate the use of more advanced mathematical and economic research, and hence, the development of those databases must accord with the requirements of those methods. Steven Yang will work on algorithmic trading strategies in electronic markets and analyze the impact of algorithmic trading on the dynamics of prices and quantities in electronic markets. Steven Yang will also conduct economic and statistical analysis of cross-market linkages in electronic markets using transaction level data. This includes analyzing transaction-level data in a number of stock index securities with the goal of describing how stock index securities are interlinked. Mr. Yang has significant expertise in advanced research analysis of order and trade data in FIXML and other formats as well as a comprehensive knowledge of machine learning modeling and significant prior experience with price manipulation. His expertise includes but is not limited to Bayesian Network Analysis, Statistical Pattern Recognition, Multivariate Statistical Discriminant Analysis, Financial Time Series Analysis and GARCH Volatility Modeling. Mr. Steve Yang has extensive experience in algorithm development and programming in SAS, R and MATLAB. He also has comprehensive knowledge and experience in working with financial trading data and financial accounting information used in market regulatory systems. Mr. Yang possesses unique experience with a variance of critical financial data standards such as FIXML, FpML, and XBRL. Mr. Yang's continued research work on using complex event processing to detect patterns that indicate market abuse and manipulation will play a critical role in aiding in the Commission's development of successor databases which include not only the large trader position and trade transactional data but also order data. This notice is not a request for offers and no solicitation is available. Interested parties must submit their capability statements in writing within 15 days of the date this notice is posted. Written responses can be emailed to krison@cftc.gov or faxed to (202) 418-5454. Any responses received after the 10 day submission period will not be considered. Responses will be used solely to determine whether a competitive solicitation should be issued and will not be the basis for an award. A determination not to compete this action based upon responses received is at the sole discretion of the Government. Telephone calls will not be accepted.
- Web Link
-
FBO.gov Permalink
(https://www.fbo.gov/spg/CFTC/OFMP/POP/CFCE-10-SO-0224/listing.html)
- Place of Performance
- Address: Washington, District of Columbia, United States
- Record
- SN02275135-W 20100911/100910000150-de93ea00e448ee9ee35b5e5c0db42afe (fbodaily.com)
- Source
-
FedBizOpps Link to This Notice
(may not be valid after Archive Date)
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