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

Author

Listed:
  • Bryan Ball

    (New York University)

  • Mark D. Flood

    (Office of Financial Research)

  • H.V. Jagadish

    (University of Michigan)

  • Joe Langsam

    (University of Maryland)

  • Louiqa Raschid

    (University of Maryland)

  • Peratham Wiriyathammabhum

    (University of Maryland)

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.

Suggested Citation

  • Bryan Ball & Mark D. Flood & H.V. Jagadish & Joe Langsam & Louiqa Raschid & Peratham Wiriyathammabhum, 2014. "A Flexible and Extensible Contract Aggregation Framework for Financial Data Stream Analytics," Staff Discussion Papers 14-03, Office of Financial Research, US Department of the Treasury.
    • Handle: RePEc:ofr:discus:14-03
    as

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    File URL: https://financialresearch.gov/staff-discussion-papers/files/OFRsdp2014-3_BallFloodJagadishLangsamRaschidWiriathammabhum_FlexibleExtensibleContractAggregationFramework.pdf
    File Function: First version, 2014
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    References listed on IDEAS

    as
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    4. Lucia Alessi & Carsten Detken, 2009. "Global liquidity as an early warning indicator for asset price boom/bust cycles," Research Bulletin, European Central Bank, vol. 8, pages 7-9.
    5. Detken, Carsten & Alessi, Lucia, 2009. "'Real time'early warning indicators for costly asset price boom/bust cycles: a role for global liquidity," Working Paper Series 1039, European Central Bank.
    6. Gary Gorton & Andrew Metrick, 2010. "Regulating the Shadow Banking System," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 41(2 (Fall)), pages 261-312.
    Full references (including those not matched with items on IDEAS)

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