Abstract
Financial mathematicians think they can predict the future by looking at time series of trades and quotes (called ticks) from the past. The main evidence for this hypothesis is that prices fluctuate only by a small amount in a given day and more or less obey the mathematics of a random walk. The hypothesis allows traders to price options and to speculate on stocks. This demonstration presents a query language and a parallel database (50-way parallelism) to support traders who want to analyze every tick, not just end-of-day ticks, using temporal statistical queries such as time-delayed correlations and tick trends. This is the first attempt that we know of to store and analyze hundreds of gigabytes of time series data and to query that data using a declarative time series extension to SQL (available at www.kx.com).
| Original language | English (US) |
|---|---|
| Pages (from-to) | 617 |
| Number of pages | 1 |
| Journal | Proceedings of the ACM SIGMOD International Conference on Management of Data |
| State | Published - 2001 |
| Event | 2001 ACM SIGMOD International Conference on Management of Data - Santa Barbara, CA, United States Duration: May 21 2001 → May 24 2001 |
ASJC Scopus subject areas
- Software
- Information Systems