Abstract
The analysis of high-frequency financial trading data faces similar problems as High Energy Physics (HEP) analysis. The data is noisy, irregular in shape, and large in size. Recent research on the intra-day behaviour of financial markets shows a lack of tools specialized for finance data, and describes this problem as a computational burden. In contrary to HEP data, finance data consists of time series. Each time series spans multiple hours from the start to the end of a trading session, and is related to others (i.e., multiple financial products
are traded in parallel at an exchange). This presentation shows how ROOT can be used in high-frequency finance analysis, which extensions are required to process time series data, and what the advantages are with regard to high-frequency finance data. We provide implementations for data synchronisation (i.e., zipping multiple files together), iterating over the data sequentially with a mutable state (i.e., each entry updates the state of a financial product), generating snapshots (i.e., resampling data based on the timestamps of the entries), and visualisation. These transformations make it possible to fold time series data into high-dimensional data points, where each data point contains an aggregation of recent time steps. This new dataset removes the need to process data serially as a time series, and instead allows the use of parallelised tools in ROOT, like RDataFrame
are traded in parallel at an exchange). This presentation shows how ROOT can be used in high-frequency finance analysis, which extensions are required to process time series data, and what the advantages are with regard to high-frequency finance data. We provide implementations for data synchronisation (i.e., zipping multiple files together), iterating over the data sequentially with a mutable state (i.e., each entry updates the state of a financial product), generating snapshots (i.e., resampling data based on the timestamps of the entries), and visualisation. These transformations make it possible to fold time series data into high-dimensional data points, where each data point contains an aggregation of recent time steps. This new dataset removes the need to process data serially as a time series, and instead allows the use of parallelised tools in ROOT, like RDataFrame
Original language | English |
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Publication status | Published - 2021 |
Event | 20th International Workshop on Advanced Computing and Analysis Techniques in Physics Research - Seoul, Korea, Republic of Duration: 29 Nov 2021 → 3 Dec 2021 |
Workshop
Workshop | 20th International Workshop on Advanced Computing and Analysis Techniques in Physics Research |
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Country/Territory | Korea, Republic of |
City | Seoul |
Period | 29/11/21 → 3/12/21 |
Keywords
- FINANCE
- Risk Management