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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
    Download Restriction: no

    References listed on IDEAS

    as
    1. Lo, Andrew W & Wang, Jiang, 2000. "Trading Volume: Definitions, Data Analysis, and Implications of Portfolio Theory," Review of Financial Studies, Society for Financial Studies, vol. 13(2), pages 257-300.
    2. Karpoff, Jonathan M., 1987. "The Relation between Price Changes and Trading Volume: A Survey," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(1), pages 109-126, March.
    3. Laux, Christian & Leuz, Christian, 2009. "The crisis of fair-value accounting: Making sense of the recent debate," Accounting, Organizations and Society, Elsevier, vol. 34(6-7), pages 826-834, August.
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