A Flexible and Extensible Contract Aggregation Framework for Financial Data Stream Analytics

Bryan Ball (), Mark Flood, H.V. Jagadish (), Joe Langsam (), Louiqa Raschid () and Peratham Wiriyathammabhum ()
Additional contact information
Bryan Ball: New York University
H.V. Jagadish: University of Michigan
Joe Langsam: University of Maryland
Louiqa Raschid: University of Maryland
Peratham Wiriyathammabhum: University of Maryland

No 14-03, Staff Discussion Papers from Office of Financial Research, US Department of the Treasury

Abstract: The paper presents the Contract Aggregation Framework (CAF) for the modeling and analysis of data streams representing arbitrary financial contracts, ranging from privately negotiated deals to exchange-traded securities. We discuss the need for a flexible and extensible data model and provide an exemplar representing trading in corporate equities and bonds. Using a measure of Market volume, we review several analytical methods to explore the data. Initial observations support the benefits of the framework to integrate and analyze disparate sources of data.

Keywords: Data stream; Market volume; Financial contract; Extensible model; Financial analytics; Tensor decomposition. (search for similar items in EconPapers)
Pages: 7 pages
Date: 2014-09-18
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Persistent link: https://EconPapers.repec.org/RePEc:ofr:discus:14-03

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