Quantitative Finance (QF) utilizes increasingly sophisticated mathematic models and advanced computer techniques to predict the movement of global markets and price the derivatives. Today, the rise of QF requires an integrated toolchain of enabling technologies to carry out complex event processing on the explosive growth of market metadata. Inspired by this, we present a data-driven execution paradigm that untangles the dependencies of complex processing events, and integrate the paradigm with a big data infrastructure. This integrated platform is termed as QuantCloud. QuantCloud executes complex event processing in a data-driven mode and manages market data in a data-parallel mode. To show its performance, we develop a prototype and benchmark by applying real-world QF research models on NYSE market data. Using this prototype, we demonstrate this platform with an application to: (i) data cleaning and aggregating and (ii) data modeling: the autoregressive-moving average (ARMA) model. The results show that this platform obtains a high throughput (in the order of millions of tick messages per second) and a sub-microsecond latency; it fully executes data-dependent tasks through a data-driven execution. This platform offers financial engineers with new insights and enhanced capabilities for efficient incorporation of big data complex event processing technologies in their workflow
To View the Base Paper Abstract Contents
Now it is Your Time to Shine.
Great careers Start Here.
We Guide you to Every Step
Success! You're Awesome
Thank you for filling out your information!
We’ve sent you an email with your Final Year Project PPT file download link at the email address you provided. Please enjoy, and let us know if there’s anything else we can help you with.
To know more details Call 900 31 31 555
The WISEN Team