High frequency trading with complex event processing

Ajay Acharya; Nandini S. Sidnal

doi:10.1109/HiPCW.2016.10

High frequency trading with complex event processing

Ajay Acharya, Nandini S. Sidnal

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

4 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 language	English
Title of host publication	Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016
Publisher	Institute of Electrical and Electronics Engineers Inc.
Pages	39-42
Number of pages	4
ISBN (Electronic)	9781509057733
DOIs	https://doi.org/10.1109/HiPCW.2016.10
Publication status	Published - 30 Jan 2017
Externally published	Yes
Event	23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016 - Hyderabad, India Duration: 19 Dec 2016 → 22 Dec 2016

Publication series

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

Conference

Conference	23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016
Country/Territory	India
City	Hyderabad
Period	19/12/16 → 22/12/16

Keywords

Big data analytics
Complex event processing
High frequency trading

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

Access to Document

10.1109/HiPCW.2016.10

Cite this

Acharya, A., & Sidnal, N. S. (2017). High frequency trading with complex event processing. In Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016 (pp. 39-42). Article 7837047 (Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016). Institute of Electrical and Electronics Engineers Inc.. https://doi.org/10.1109/HiPCW.2016.10

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keywords = "Big data analytics, Complex event processing, High frequency trading",

author = "Ajay Acharya and Sidnal, {Nandini S.}",

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Acharya, A & Sidnal, NS 2017, High frequency trading with complex event processing. in Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016., 7837047, Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016, Institute of Electrical and Electronics Engineers Inc., pp. 39-42, 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016, Hyderabad, India, 19/12/16. https://doi.org/10.1109/HiPCW.2016.10

High frequency trading with complex event processing. / Acharya, Ajay; Sidnal, Nandini S.
Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016. Institute of Electrical and Electronics Engineers Inc., 2017. p. 39-42 7837047 (Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Sidnal, Nandini S.

PY - 2017/1/30

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AB - 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.

KW - Big data analytics

KW - Complex event processing

KW - High frequency trading

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M3 - Conference contribution

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

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ER -

Acharya A, Sidnal NS. High frequency trading with complex event processing. In Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016. Institute of Electrical and Electronics Engineers Inc. 2017. p. 39-42. 7837047. (Proceedings - 23rd IEEE International Conference on High Performance Computing Workshops, HiPCW 2016). doi: 10.1109/HiPCW.2016.10

High frequency trading with complex event processing

Abstract

Publication series

Conference

Keywords

UN SDGs

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