Finance and Insurance High-Performance Computing Laboratory

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).