Russell Moore MA (Cantab) FRSA

Welcome to the personal homepage of Russell Moore - UK-based computer scientist and entrepreneur. I'm a researcher at the University of Cambridge and a Fellow of the Royal Society of the Arts.

Get in touch!


I went into business in 1999, joining three good friends at Anondesign Ltd, a Cambridge-based web media start-up. It was a lucky break - we really learned a lot in those early years!

I am now a director of the Great East London group of companies. The GEL group was founded in 2002 as a specialist development house working on (at the time) cutting-edge banking transaction protocols.

Since those days, our work has diversified, but about 70% of our projects are in finance, including advisory and software projects in the field of financial instrument modelling for risk-management purposes.

GEL is a member of the Cambridge University Computer Laboratory Hall of Fame and we have worked for many large and well-known firms in the US, UK, and Germany.

I am also interested in investing, especially in companies with a futurist angle.

Workshops & Instructing

I occasionally run educational workshops, either with GEL or as an individual.

My individual workshops tend to focus on mobile apps and digital creative content. I recently co-instructed the Bits and Pieces workshop at the 2014 Hackney WickED art festival, teaching artists how to digitise their content and incorporate it into apps, by coding a simple video game.

GEL workshops are business oriented. Previously I've run GEL workshops on Business Process Management in the City of London, where attendees designed processes in groups, set them up using IBM BPM (a Websphere based BPM system, formerly called Lombardi Teamworks), and learned how to monitor them using the BPM tools, in order to optimise their performance.

BPM is complex, and the workshops were run weekly as evening classes to allow participants to develop and cement their expertise.

I learned to programme in the mid 1980s, from books! I used a Sinclair ZX81 and a BBC Model B, and briefly a borrowed luggable Osborne 1. The first PC in our household was a 1992 AST Bravo 486SX, packing 4MB of RAM and running at a blistering 25MHz. Many happy hours of Pascal and QBasic followed. I used ML and Java at Cambridge, and obtained my degree in Computer Science in 2000.

Finance Projects

Capturing Trades for Fair Pricing

Equity Derivative Pricing - GED MCC

I executed numerous Market Conformity Control (MCC) projects for Deutsche Bank between 2003-2006. The projects had similar goals - to shadow the Bank's executed trades and provide fair prices, which were then checked for tolerance - outliers were automatically passed onto business area controllers for further investigation.

The systems sampled market data and used this to calculate prices based on the times of executions. Perhaps the most sophisticated of these was the Global Equity Derivatives (GED) MCC system. It was able to price European and American derivatives with exotic features such as average pricing, barriers etc, on single stock, index or basket underlyings.

Instances running in New York, London and Singapore could be controlled via an SMS interface.

Part of a yield curve model

Yield Curve Modelling (codename G1AX)

G1AX was a mathematics engine developed for a large and well-known German investment bank.

The system was used to model official P&L for one of the world's biggest FX trading desks. It was able to construct piecewise yield curves from standard and custom inputs for a variety of purposes, as well as approximating curves from currency forwards and spreads. It was used to model all the world's currencies.

As well as being a powerful mathematical tool, it had many enterprise features - yield curve models could be organised according to geography or desk, models could be cloned and shared, with access control driven from user accounts on the bank's LDAP systems. It ran on a virtualised Websphere cluster.

Part of a volatility surface model

Equity Modelling (codename G2AX)

G2AX was the follow-on project from G1AX - we extended the scope of the software to model equity instruments.

Equities suffer from inconsistent reporting across data sources, so extensive data processing was required - for instance, conversion of aggregated dividend reports into synthetic payment schedules.

The system also constructed and smoothed volatility surfaces based on observed consensus data. It had numerous different methodologies built in and was able to adapt its construction methods based on the quality of the data available.

It was used for independent price verification (IPV).

Partial Schematic of System Architecture

Hedge Fund Front-Office Toolkit

In 2006 I wrote a suite of tools for the trading floor of a London hedge fund.

The tools were designed to integrate the fund's portfolio-tracking system with existing trader spreadsheets, automate common manual processes and simplify book management. They were unusual in that the heavy lifting was done by a Java back end, which fed into the sheets using HSSF.

The resulting tools were remarkably stable - a review with the client in 2010 revealed they had required no maintenance at all in the intervening four years.

Media Projects

SA Player in situ Video Players

In 2011 I wrote the streaming video players used by in a project with Beatscope Ltd

These players stream sports commentary videos and overlay betting information based on the contents of the clips (the viewer can click on these to go to a bookmakers and place their bets).

The streams and their overlays are managed via a dedicated video server, also developed by my team. The players are available in three sizes and have many interactive features. They were coded in AS3 using Adobe Flash.

The Nerd Corner

Although a huge fan of Java for many years, I must admit that these days I'm enjoying dynamically typed languages, especially Python - although Javascript becomes ever more relevant. Here are some of the others I've used over the years:

  • Cambridge ML
  • PHP
  • Perl
  • Processing
  • Ruby
  • HTML5
  • Flash/AS3
  • C

There are too many to list in full, but here are some of the frameworks, toolkits and libraries I have used:

  • Eclipse (many variants!)
  • Create.js
  • GSAP
  • jQuantLib
  • NumPy
  • Pandas
  • DBAX
  • QSTK
  • Django
  • Rails
  • Flask
  • Backbone.js
  • Knockout.js
  • jQuery
  • TastyPie
  • Underscore
  • Bootstrap
  • JavaFX
  • Java Monkey Engine
  • ...many, many more!

I like to draw when I travel, and in the last couple of years started creating postcards in the field.

Sometimes they are created with a specific recipient in mind, sometimes they are just inspired by the view.

My rule is to get them done in around an hour, so I tend to use a limited palette and mid-toned card.

I've noticed that they tend to "draw themselves", in that I do not seek out the subject matter, and I do not engineer the content by anything more than the most cursory of conscious processes: the time and place just seems right, and the picture flows.

The results are usually tranquil landscapes, interesting historical architecture, and water. Often the drawings have a sense of contented solitude about them.

If you'd like a postcard please tell me your address and I will create one for you!