A User-Driven SOA for Financial Market Data Analysis

  • Adnene Guabtni University of New South Wales
  • Dennis Kundisch University of Paderborn
  • Fethi A. Rabhi University of New South Wales

Abstract

This paper is concerned with an environment, referred to as Ad-hoc DAta Grid Environment (ADAGE), which facilitates the analysis of large financial datasets by expert end-users. The paper focuses on the design of a Service-Oriented Architecture (SOA) that makes it possible to define re-usable and interoperable software components as web services to manipulate entities of an underlying event-based data model. Such a model allows for a coherent representation of market activities as events, e.g., high-frequency market data like trade prices and quotes, and a subsequent analysis. The paper also describes an implementation of a user-driven composition tool based on the SOA which allows domain experts to conveniently compose services to execute individualised processes. The approach is illustrated on a case study about analysing the price setting behaviour of issuers in the market for structured products.
Published
2015-12-07
Section
Research Articles