Use Case

Global Market Efficiency Impact

C. Tiu, D. Rösch, B. Wolfe (University at Buffalo) with S. Titman, K. Brown (University at Texas Austin), U. Yoeli (University of Texas), M. Carlson (University of British Columbia), A. Reed (TIAA), A. Subrahmanyam, R. Roll (UCLA), M. van Dijk, D. Bongaerts (Erasmus University)

What?

  • Measure market efficiencies with high volumes of historical and current intraday market data

Why Aristotle?

  • Bursting to integrate new data
  • Tens of TBs moved to available processing resources
  • Sharing data and pipelines around the world for collaboration and reproducibility

Accomplishments

  • Developed the capability to migrate OpenNebula images to the cloud.
  • Setup the framework on a VM and began to import and successfully analyze 2TBs of international tick-by-tick financial data from the Thomson Reuters Tick History (TRTH) database.
  • Imported 25TBs Trade and Quote (TAQ) data up until 2017 for intraday trades and quote transactions for all US exchange-listed stocks, and computed 9 measures of efficiency.
  • Created VMs in collaboration with Varun Chandola and Jialiang Jiang (UB) that share the same image and hold all the data; they are executing well.
  • Demonstrated the framework to PhD students so they can analyze the data independently on Aristotle.
  • Launched new investigations, i.e., how price deviations (market inefficiencies) affect liquidity (the ease at which you can buy or sell), how the recent increase in tick-size (the minimum price movement of US stocks) affects liquidity, etc.

Plans

  • Submit research investigating the impact of arbitrage using Thompson Reuters Tick History data and the recent tick-size pilot study by the U.S. Securities Exchange and Commission to finance journals.
  • Complete the first draft investigating global market efficiency using Thompson Reuters Tick History Data and U.S. market efficiency.
  • Start a new project investigating the impact of jumps in prices on holding period returns and volatility.
  • Continue to mentor four finance PhD students using the framework hosted on Aristotle.
  • Work together with an UB information technology student to automate part of the framework hosted on Aristotle.
  • Release the framework to the greater scientific community (long-term goal).

Products



Time-variation in global and local market efficiency studies need large data storage
Time-variation in global and local market efficiency studies need large data storage

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