High frequency trading with complex event processing

Ajay Acharya, Nandini S. Sidnal

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

2 Citations (Scopus)

Abstract

High frequency trading is steadily taking overthe equity trading world. High frequency trading involves veryhigh speed systems placing trades at sub millisecond speedsacross multiple stock exchanges. HFT is a good example forBig Data analytics - especially the velocity aspect of big data. For HFT strategies to be profitable, real time processing of bigdata is essential. In this paper we discuss the challenges facedby HFT systems and the opportunity for big data processingwith low latency in the field. Most HFT systems are designedusing real time stream processing, which have certaindrawbacks. We present a theoretical framework for buildinghigh frequency trading systems using the complex eventprocessing paradigm which could overcome the drawbacks ofstream processing. Complex event processing enables detectingpatterns of events from disparate events streams and respondsto the detected pattern. The applicability of the framework forHFT applications is discussed.

Original languageEnglish
Title of host publicationProceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages39-42
Number of pages4
ISBN (Electronic)9781509057733
DOIs
Publication statusPublished - 30 Jan 2017
Externally publishedYes
Event23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016 - Hyderabad, India
Duration: 19 Dec 201622 Dec 2016

Publication series

NameProceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016

Conference

Conference23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016
Country/TerritoryIndia
CityHyderabad
Period19/12/1622/12/16

Keywords

  • Big data analytics
  • Complex event processing
  • High frequency trading

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