June 4, 2013
During the closing ceremonies for the first FinTech Montréal conference, in late May, PhD student Yann Bilodeau (Finance specialization) won the Relève universitaire award, with a $10,000 cash prize sponsored by the Caisse de dépôt et placement du Québec. The event, involving five competitions and $50,000 in prizes in all, was intended primarily to help identify new talent and promote Montreal’s expertise in the field of financial technology.
Yann’s doctoral dissertation, directed by Georges Dionne, holder of the Canada Research Chair in Risk Management, looks at market microstructure using ultra high-frequency data obtained from the Frankfurt stock exchange (Xetra platform). Using this data is a very complex task, since it contains information on all continuous trading transactions involving over 1,700 securities and auctions and the 20 first levels of the order book related to each share. The data cannot be used in its raw form, however, given the sample format and size.
The software developed by Yann (Xetra Parser) is the main component in a process where the first step is to convert the binary files provided by Xetra into text files. These massive intermediary files can then be processed by the software to produce structured files to be used directly or loaded into databases in order to conduct different analyses.
Yann’s studies are being financed by the Fonds de recherche du Québec – Société et culture (FQRSC). The data and high-performance computers required for his research are financed by the Canada Foundation for Innovation and are located in the computer lab of the Interuniversity Research Centre on Enterprise Networks, Logistics and Transportation (CIRRELT), with which HEC Montréal is affiliated.
FinTech Montréal 2013 was organized by Finance Montréal, the Quebec finance cluster created in 2010, bringing together banks and financial corporations, government bodies (the Quebec government, the City of Montréal, the Communauté métropolitaine de Montréal and the provincial financial regulator, the AMF) and universities. One of its objectives is to boost the international competitiveness of the city’s financial sector.
From left to right: Henri-Paul Rousseau, Vice-Chairman, Power Corporation, Yann Bilodeau, Pierre Miron, Executive Vice-President, Operations and Information Technology, Caisse de dépôt et placement du Québec, and Éric Lemieux, Chief Executive Officer, Finance Montréal.