Financial Market Data Analysis

Overview and Achievements

There have been a number of projects which have been carried out in three distinct phases:

  • Capital Markets CRC (2001-2007, $735,000): the group played a part in shaping the research agenda of the first bid. Several projects in the area of Interoperability of financial systems were conducted with Computershare, SMARTS and Sirca as industry partners.
  • Ad-hoc DAta Grid Environments – ADAGE (2007-2009, $1,455,000): most of the funding was provided by a $900K grant from DEST’s Innovation Science Linkage program and an important contribution from Sirca as the industry partner. The project has a sister large European project called SORMA, (2.7M Euros). The main focus of the project was the analysis of Thomson Reuters Tick Data (TRTH) archive.
  • Smart Services CRC (2010-2014, $1,167,000): also with Sirca as an industry partner. The focus was on the analysis of news/media information and sentiment analysis.

Achievements include:

  • Contributing several original research contributions around financial market systems and technology (see publications below)
  • Building the TradeLab software as an education tool for teaching dealing and trading in financial markets
  • Designing the ADAGE Framework as an approach for building a cost-effective infrastructure for analysing large repositories of heterogeneous data (SOA and BPM principles).
  • A series of data analysis tools for processing Thomson Reuters Tick History and News data, notably the Event Studies Workbench

Capabilities

  • Knowledge of capital markets trading cycle in general and ASX in particular
  • Trading engine technology and algorithmic trading simulation
  • High frequency financial market data analysis and provision of custom-designed analysis processes
  • Applications of Service Oriented Computing and Web technologies to financial market systems

Selected publications

  • C. S. Robertson, F. A. Rabhi and M. Peat, A Service-Oriented Approach towards Real Time Financial News Analysis, In Consumer Information Systems and Relationship Management: Design, Implementation and Use, A. Lin, J. Foster and P. Scifleet (eds), IGI Global, 2011.
  • M. Wagener, D. Kundisch, R. Riordan, F.A. Rabhi, P. Herrmann and C. Weinhardt, Price efficiency in futures and spot trading: The role of information technology, Electronic Commerce Research and Applications, Volume 9, Issue 5, September-October 2010, pp 400-409.
  • F.A. Rabhi, M. Baradarannia and L. Yao, "A Case study using the Ad-hoc Data Grid Environment (ADAGE) for Financial Time Series Building", FinanceCom 2010, Frankfurt, Germany, August 2010.
  • F. A. Rabhi, O.F. Rana, A. Guabtni and B. Benatallah, A User-Driven Environment for Financial Market Data Analysis, 4th International Workshop on Enterprise Applications and Services in the Finance Industry (FinanceCom08), Paris, France, in D. Kundisch; D. Veit; T. Weitzel and C. Weinhardt (eds), Enterprise Applications and Services in the Finance Industry, Lecture Notes in Business Information Processing (LNBIP) No 23, Springer, ISBN: 978-3-642-01196-2, 2009.
  • Guabtni, D. Kundisch and F.A. Rabhi, A User-Driven SOA for Financial Market Data Analysis, Enterprise Modelling and Information Systems Architectures, Vol 5, no 2, October 2010, pp. 4-20.
  • F.A. Rabhi, A, Guabtni and L. Yao, A Data Model for Processing Financial Market and News Data, International Journal of Electronic Finance, Vol 3 (4), 2009, pp. 387-403, ISSN: 1746 0069.
  • P. Mangkorntong and F. A. Rabhi, A Domain-Driven Approach for Detecting Event Patterns in E-Markets: A Case Study in Financial Market Surveillance, World Wide Web Journal, Springer, ISSN 1386-145X, Volume 12, Number 1, March 2009, pp. 69-86 (Available at http://www.springerlink.com/content/328253044v776427/)
  • P. Mangkorntong, and F.A. Rabhi., A High-Level Approach for Defining & Composing Event Patterns and Its Application to E-Markets. Proceedings of The Second International Workshop on Event-driven Architecture, Processing and Systems (EDA-PS'07) at the 33rd International Conference on Very Large Data Bases (VLDB 2007), Vienna, Austria, 23-27 September 2007.