资源描述：
《a “big data” study of microstructural volatility in futures markets》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、Easley2013/10/811:31page125#1456ABigDataStudyofMicrostructuralVolatilityinFuturesMarketsKeshengWu,E.WesBethel,MingGu,DavidLeinweber,OliverRübelLawrenceBerkeleyNationalLaboratoryFactorssuchaselectronicexchanges,decimalisationofstockpricesandautomatedorderslicingcreateda
2、nexplosionintheamountoffinancialdatainthefirstdecadeofthe21stcentury,andthenumberoftradesperdayhasbeenincreasingdramatically.Alargeportionofthetradeshappennearopeningorclosingofthetradingday,whichcreatesveryhighratesoftradingactivitiesinshortbursts.Thishighdatarateandevenhig
3、herburstratemakeitdifficulttounderstandthemarket.Manyresearchershavearguedthatabetterunderstandingofhigh-frequencytrading,andbetterregulations,mighthavepreventedeventssuchastheUSflashcrashofMay6,2010(Easleyetal2011b;MenkveldandYueshen2013).However,academicresearchersandgover
4、nmentregulatorstypicallylackthecomputingresourcesandthesoftwaretoolstoworkwithlargevol-umesofdatafromhigh-frequencymarkets.Webelievethattheexist-inginvestmentsinhigh-performancecomputingresourcesforsci-encecouldeffectivelyanalysefinancialmarketdata.Inthischapter,weusethecon
5、cretetaskofcomputingaleadingindicatorofmarketvolatilitytodemonstratethatamodestmachinecouldanalyseover100GBoffuturescontractsquickly.ScientificresearchactivitiessuchastheLargeHadronCollider1andclimatemodelling2produceandanalysepetabytes(1015bytes)ofdata.Thedataratesfromsuch
6、activitiesareinfactmultipleordersofmagnitudehigherthanthosefromfinancialmarkets.Inmostcases,scientistsareconductingtheiranalysistasksnotwith125Easley2013/10/811:31page126#146HIGH-FREQUENCYTRADINGexpensivedatawarehousingsystems,butusingopen-sourcesoft-waretoolsaugmen
7、tedwithspecialiseddatastructuresandanalysisalgorithms(BethelandChilds2012;ShoshaniandRotem2010).Weviewthisdeparturefromtherelianceonthemonolithicdatabasemanagementsystemasthecorefeatureofthebigdatamovement(Lynch2008;Manyikaetal2011).Inthischapter,weprovideabriefoverviewoft
8、hreekeypiecesofthetechnology:1.anefficientfileformatfororganisingthemarketdata,2.asetoftech
