Lykke Research Team: interview with Vladimir Petrov
With this interview, we would like to shed some light on the work of the Lykke research team. Lykke’s policy, as one of the innovators in the financial technologies market, has always been attractive to young and talented researchers and developers. Vladimir Petrov, a Marie Curie Ph.D. student at the University of Zurich will tell us how scientific research and development meet at Lykke.
What is Lykke research team? Who are its members?
Lykke research team’s main goal is to employ the best scientific techniques as practical tools in modern finance. The new financial era is inspired by blockchain technologies and its emergent properties are unique. We strive to ensure the high quality of service at all levels of Lykke Exchange functioning. We firmly believe that all existing risk management or market making tools have to be intensely re-examined and sometimes even built from scratch because the problems that accompany digital currencies are untypical for the classical financial system. Lykke tends to gather professionals from various scientific domains to guarantee the high quality of the multidisciplinary work. Just recently a new person joined the team: Irfan Ali-Khan who holds Ph.D. in Physics and has a decade of entrepreneurial experience in the Silicon Valley. Other prominent members of the research team are Lykke’s founder Richard Olsen and Lykke’s co-founder Sergey Ivliev.
The team of experts actively investigate novel, non-traditional ways of approaching scientific problems. This is why not only trained researchers but also young Ph.D. students are deeply involved at all stages of the research work where they can test every cutting-edge technique beyond the doors of scientific laboratories. Moreover, all members of Lykke’s research team are free to choose their own work style and communication channels.
How do you implement the findings of your research in Lykke Wallet and Lykke Exchange architecture? Can you give a concrete example?
One of the main components of any exchange is the sufficient amount of liquidity capable of satisfying the needs of all buyers and sellers. To take a real-life example, one may build a huge, fancy, bright and modern trading or entertainment center but it will be a completely useless mountain of glass and concrete until actual retailers rent a space to sell their goods. Also, at the same time, the retailers should be encouraged to provide their services by having access to a broad stream of clients coming to consume their products. The same is applicable to all digital exchanges: they might be designed in the most advanced way and equipped with the best technologies, but they will barely attract any interest until market makers settle down at the venues and continuously buy from those who want to sell and sell to those who need to buy. This is why Lykke’s research team puts a lot of effort into studying the complex dynamics of the cryptocurrency world where very few traditional rules work.
What do you think is the most important discovery in science made lately that will change completely the way the financial system works?
Scientists and financiers of the traditional world are used to relying on the calendar time as the estimate of the moments where the markets’ states have to be checked or recorded. These intervals typically have fixed duration and coincide with such natural physical phenomena as the rotation of the Earth around the Sun (years), or the full period of Earth’s rotation around its axis (days). The problem is that really important economic events capable of affecting market dynamics are rarely synchronized with the flow of the cosmic bodies mentioned above. Political decisions, financial reports, or natural catastrophes dictate the heartbeat of real price changes. This is why a new concept of time, which is able to automatically adjust its run to the rapidly changing conditions, has to be employed to better manage all features hidden in price curves.
Lykke’s research team is one of the few protagonists of the so-called concept of Directional-Change Intrinsic Time. This concept can be applied to any source of unfiltered tick-by-tick data. This makes it equally useful for market making purposes, volatility estimation, or liquidity analysis. The Directional-Change Intrinsic Time is a relatively new concept, but taking into account all successful research articles where it was applied (articles one, two and three) and our recent findings (see one and two) we strongly believe that this method opens new horizons and brings clarity to all areas of financial research.
How long have you been working at Lykke and what do you think its main strength is?
I have been collaborating with Richard Olsen, the founder of Lykke, since the very beginning of the company. I joined the research group as a part of the European research initiative BigDataFinance under the Marie Sklodowska-Curie grant agreement 675044. I have always been passionate about the open-mindedness towards new ideas and the transparency of the whole process promoted by the company. These two facts attract very talented and professional people from all around the world, which is not always possible in the traditional-style companies. After all, people, and not technologies, can make Lykke the brightest star on the sky of the revolutionary finance!
Originally published at www.lykke.com.
