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Fast construction of nanosecond level snapshots of financial markets
Author(s) -
Gai Jiading,
Choi Dong Ju,
O'Neal David,
Ye Mao,
Sinkovits Robert S.
Publication year - 2014
Publication title -
concurrency and computation: practice and experience
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.309
H-Index - 67
eISSN - 1532-0634
pISSN - 1532-0626
DOI - 10.1002/cpe.3220
Subject(s) - snapshot (computer storage) , computer science , nanosecond , construct (python library) , financial market , order (exchange) , software , financial stability , finance , financial system , business , operating system , programming language , laser , physics , optics
SUMMARY The goal of this project is to rapidly construct an order‐by‐order level snapshot of financial markets with nanosecond resolution time stamps. We are particularly interested in understanding the impact of high‐frequency traders on the security, stability, and fairness of these markets. In this paper, we describe our computational approach, the optimizations that were applied to improve the performance of the software by a factor of more than 125×, and the new capabilities that can be enabled using a combination of fast algorithms and XSEDE resources. Copyright © 2014 John Wiley & Sons, Ltd.