Advertisement

A User-Driven Environment for Financial Market Data Analysis

  • Fethi A. Rabhi
  • Omer F. Rana
  • Adnene Guabtni
  • Boualem Benatallah
Conference paper
Part of the Lecture Notes in Business Information Processing book series (LNBIP, volume 23)

Abstract

This paper proposes a software development environment which facilitates the analysis of large financial datasets by end-users. This environment is based on an event-based data model that gives a coherent representation of market activities, particularly high-fequency market and news data. The model makes it possible to define software components and Web services to manipulate entities in the model. The paper also describes a prototype implementation which allows domain experts to compose components and services to build an application. This prototype uses the Triana scientific workflow system to define workflows of existing software components and Web Services. This approach is demonstrated on a realistic case study related to processing both news and financial market data.

Keywords

financial data Triana scientific workflow timeseries analysis news analysis event model composition framework Web Services 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

References

  1. 1.
    Back, K.: Asset Pricing for General Processes. Journal of Mathematical Economics 20, 371–395 (1999)CrossRefGoogle Scholar
  2. 2.
    Bunnin, F.O.: Design of problem-solving environment for contingent claim valuation. In: Sakellariou, R., Keane, J.A., Gurd, J.R., Freeman, L. (eds.) Euro-Par 2001. LNCS, vol. 2150, pp. 935–938. Springer, Heidelberg (2001)CrossRefGoogle Scholar
  3. 3.
    Barndorff-Nielsen, O.E., Shephard, N.: Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. Journal of Financial Econometrics 4(1), 1–30 (2006)CrossRefGoogle Scholar
  4. 4.
    Fleeter, S., Houstis, E., Rice, J., Zhou, C., Catlin, A.: GasTurbnLab: A Problem Solving Environment for Simulating Gas Turbines. In: Proceedings of 16th IMACS World Congress, pp. 104–105 (2000)Google Scholar
  5. 5.
    El-Gayyar, M.M., Alda, S.J., Cremers, A.B.: Towards a User-Oriented Environment for Web Services Composition. In: Proc. Fourth Workshop on End-User Software Engineering, WEUSE IV (In conjunction with ICSE 2008), pp. 81–85 (May 2008)Google Scholar
  6. 6.
    Gavran, I., Milanovic, A., Srbljic, S.: End-User Programming Language for Service-Oriented Integration. In: Proc. of 7th Workshop on Distributed Data and Structures (WDAS 2006), CA, USA (2006)Google Scholar
  7. 7.
    EO 600 Gravitational Wave Project, http://www.geo600.uni-hannover.de/ (last Accessed April 2008)
  8. 8.
    Hamilton, J.D.: Time Series Analysis. Princeton University Press, Princeton (1994)Google Scholar
  9. 9.
    Mangkorntong, P., Rabhi, F.A.: A domain-driven approach for detecting event patterns in E-markets: A case study in financial market surveillance. In: Benatallah, B., Casati, F., Georgakopoulos, D., Bartolini, C., Sadiq, W., Godart, C. (eds.) WISE 2007. LNCS, vol. 4831, pp. 147–158. Springer, Heidelberg (2007)CrossRefGoogle Scholar
  10. 10.
    Milanovic, N., Malek, M.: Current Solutions for Web Service Composition. IEEE Internet Computing, 51–59 (November-December 2004)Google Scholar
  11. 11.
    IPTC Web, NewsML (2008), http://www.newsml.org/ (last accessed May 5, 2008)
  12. 12.
    News.com ontology viewer (2008), http://infosthetics.com/archives/2005/10/cnet_newscom_ontology_viewer.html (last accessed May 2008)
  13. 13.
    Pham, Q.-K., Saint-Paul, R., Benatallah, B.: Time-Aware Content Summarization of Data Streams., Technical Report UNSW-CSE-TR-0722 (December 2007)Google Scholar
  14. 14.
    Sanchez-Fernandez, L., Fernandez-Garca, N., Bernardi, A., Zapf, L., Penas, A., Fuentes, M.: An experience with Semantic Web technologies in the news domain. In: Proc. 4th Int. Semantic Web Conference (ISWC 2005), Workshop Semantic Web Case Studies and Best Practices for eBusiness, Galway, Ireland (2005)Google Scholar
  15. 15.
    The Sekt Project (2008), http://www.sekt-project.com/ (last accessed May 2008)
  16. 16.
    Shirreff, D.: The Human Factor. Euromoney (321), 30–35 (January 1996)Google Scholar
  17. 17.
    The Securities Industry Research Centre of Asia-Pacific (SIRCA), Taqtic On-line System (2008), https://taqtic.sirca.org.au/ (last accessed August 2008)
  18. 18.
    Rana, O.F., Ali, A.S., Taylor, I.J.: Web Services Composition for Distributed Data Mining. In: Katz, D. (ed.) Proc. of ICPP, Workshop on Web and Grid Services for Scientific Data Analysis, Oslo, Norway, June 14 (2005)Google Scholar
  19. 19.
    Taylor, I., Shields, M., Wang, I., Philp, R.: Grid Enabling Applications using Triana. In: Proc. Workshop on Grid Applications and Programming Tools. In: Conjunction with GGF8. Organized by: GGF Applications and Testbeds Research Group (APPS-RG) and GGF User Program Development Tools Research Group, UPDT-RG (2003)Google Scholar
  20. 20.
    Taylor, I., Wang, I., Shields, M., Majithia, S.: Distributed computing with Triana on the Grid: Research Articles. Concurrency and Computation: Practice & Experience 17(9), 1197–1214 (2005)CrossRefGoogle Scholar
  21. 21.
    Reuters, T.: Calais Web Service (2008), http://www.opencalais.com/ (last accessed August 2008)
  22. 22.
    The Protégé Ontology Editor and Knowledge-Base Framework (2008), http://protege.stanford.edu/ (last accessed August 2008)
  23. 23.
    Saint-Paul, R., Raschia, G., Mouaddib, N.: General purpose database summarization. In: Proc. International Conference on Very Large Databases (VLDB 2005), pp. 733–744 (August 2005)Google Scholar
  24. 24.
    Tsay, R.S.: Analysis of Financial Time Series: Financial Econometrics. Wiley Series in Probability and Statistics (2002)Google Scholar
  25. 25.
    Wharton Business School, Wharton Research Data Services (2008), http://wrds.wharton.upenn.edu/ (last accessed August 2008)
  26. 26.
    Woodroof, J.: How to Link Web Data. Journal of Accountancy, 55–58 (March 1999)Google Scholar
  27. 27.
    Zwick, S.: Not Your Father’s Trading Technology. Futures, 72–75 (March 2005)Google Scholar

Copyright information

© Springer-Verlag Berlin Heidelberg 2009

Authors and Affiliations

  • Fethi A. Rabhi
    • 1
  • Omer F. Rana
    • 2
  • Adnene Guabtni
    • 1
  • Boualem Benatallah
    • 3
  1. 1.School of Information Systems, Technology and ManagementUNSWSydneyAustralia
  2. 2.School of Computer ScienceCardiff UniversityCardiffUK
  3. 3.School of Computer Science and EngineeringUNSWSydneyAustralia

Personalised recommendations