Ultra-high-performance infrastructure required for rapid computations with large databases
Among other initiatives, CFI funding has enabled the acquisition of a new high-frequency database from the Frankfurt Stock Exchange, used to analyse intraday financial market transactions. A new software (Xetra Parser) has been developed to process this huge database. A new database from the New York Stock Exchange was also purchased.
The project was motivated by stock market liquidity and information problems experienced since the recent financial crisis. Utilization of this type of data is highly complex, as the data cover all transactions performed on an ongoing basis. The format and size of the sample obtained from the Xetra platform (Frankfurt) meant that use of the data in their initial form was impossible.
The new software (Xetra Parser) is the main component of a process that begins with the conversion of the binary files supplied by Xetra into text files. The 2017 funding will allow the analysis of arbitrage between Canadian, American and European exchanges in an environment of very high frequency transactions (nano seconds).
Computer servers, financial and insurance databases, developed software such as Xetra Parser
- Financial services and insurance
Specialized Labs and Equipment
Name of specialized lab |
Name of equipment |
Description of function |
High-performance computing laboratory (Site 1) |
Software:
|
|
Hardware:
|
Access to Compute Canada’s high-performance computing resources. |
|
High-performance computing laboratory (Site 2) |
|
|
High-performance computing laboratory (Site 3) |
|
Private and Public Sector Research Partners
- Société de l’assurance automobile du Québec
- National Bank of Canada
- Intact Insurance
Additional Information
Title |
URL |
Canada Research Chair in Risk Management |
|
Prix Pierre Laurin 2016 |
https://www.hec.ca/nouvelles/2016/Grands-prix-de-recherche-et-de-pedagogie-Georges-Dionne-et-Jean-T… |
Prix Kulp Wright 2015 |
https://www.hec.ca/nouvelles/2015/World-Risk-Insurance-Economics-Congress-Georges-Dionne.html |
Prix relève universitaire – juin 2013 |
http://www.hec.ca/nouvelles/2013/prix-releve-universitaire.html |
Prix Marcel-Dagenais – mai 2012 |
http://www.hec.ca/nouvelles/2012/nouv_201242_prixMarcelDagenais.html |
Prix Innis-Gérin 2011 |
https://www.hec.ca/nouvelles/2011/nouv_Dionne_Georges_medaille_Innis-Gerin.html |
Prix Jean-Guertin 2011 |
https://www.hec.ca/nouvelles/2011/nouv_201197_Georges_Dionne.html |