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22/09/05
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State of the art of the project and of the national
facility of financial data.
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Our project and the related ones
High frequency dynamics in financial markets(INFM)
eGRID (ICTP)
Softcomputing applicationsto modern finance (Science park Trieste)
22/09/05 3
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Research institutions re-organization
INFM is now part of CNR. This re-organizationshould not affect the development of the project but will certainly affect future research possibilities.
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Work package 1
Contribution of INFM to the realizationof a “national facility” of financial data
The national facility is designed and maintainedby ICTP (within the eGRID project) but thefinal property of data is of INFM.
22/09/05 5
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Data of the facility
"Rebuild Order Book" of London Stock Exchange (LSE) year 2002
"Trades and Quotes" (1995-2003) and "Open Book" (2002) of the New York Stock Exchange (NYSE),
“Intraday Historical Euronext Data" of the Paris, Brussels andAmsterdam (year 2002). We are also trying to buy the orderbook related to these transactions
Intraday trades, best 5 quotes for the Milan Stock Exchangeyear (2002).
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Data of the facility
“Trades” of the Tokyo Stock Exchange, year 2002.
Money Exchange trough “Depositi Interbancari” of the electronic market E-MID S.p.a., year 2002.
S&P 500 Index and Future from TickData. Years 1982-2004 .
We have ordered the tick data of “MTS Time Series” fromEuroMTS l.t.d., from April 2003 to March 2004.
22/09/05 7
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GRID nodes
Trieste (eGRID)Padova (INFN)
Palermo (INFM OCS)
Rome (CNR ISC)
Florence (Univ)
22/09/05 8
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Pre-processing of data
Flat files have been obtained for the LSE (A. Tedeschi, A. Ponzi)
An efficient sorting has been devised for NYSEand time series sampled at intraday fixed time intervals have been obtained (A. Tedeschi, C. Brownlees, C. Coronnello)
22/09/05 9
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Pre-processing of the data
A reconstruction of the LSE order book has been achieved for the Set 1 stocks of that market(A. Ponzi)
Correlation based graphs have been obtained for LSE, NYSE and Parigi stocks and a series of conditions and methods (S. Miccichè and C. Coronnello)
22/09/05 10
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Flat file exampleO
rder
ty
peHi
stor
y ty
pe
Ord
er
Code
Buy
Sell
Ind
Trad
e si
ze
Trad
e Pr
ice
Epoc
h Ti
me
Year
Mon
thDa
y
Hour
Min
ute
Seco
ndAg
ent
Id Tick
si
ze
Trad
e pr
ice
Rem
ain
ing
Size
Endi
ng
Hist
ory
Type
Endi
ng
Tim
e
Mat
chi
ngLO
Mat
chi
ng
Pric
eM
atch
ing
O
rder
Nu
mbe r
Agen
t ID
ofM
O
Best
Bi
d
Best
O
ffer
1 1 C01YD1CA02 2 0 341.0 1023265421 2002 6 5 10 23 41 0 1 0.0 2300 3 1023265421 0 341.0 0 0 343.5 350.01 2 C01YD1CA02 2 1000 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 1300 0 1023265421 1 343.5 701VLMAW02 0 343.5 350.01 3 701VLMAW02 1 1000 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5 350.01 2 C01YD1CA02 2 1299 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 1 0 1023265421 1 343.5 E01WARGE02 0 343.5 350.01 3 E01WARGE02 1 1299 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 341.0 C01YD1CA02 0 343.5 350.01 3 C01YD1CA02 2 1 341.0 1023265421 2002 6 5 10 23 41 0 1 343.5 0 0 1023265421 1 343.5 C01YD1C902 0 343.5 350.01 2 C01YD1C902 1 1 343.5 1023265421 2002 6 5 10 23 41 0 1 343.5 1000 0 1023265679 1 341.0 C01YD1CA02 0 343.5 350.0
22/09/05 11
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The real behavior in a short time for a normal stock
- sell limit orders
- buy limit orders
○ sell market orders
x buy market orders
spread first sell gapfirst buy gap
Order book dynamics
22/09/05 12
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Order book dynamics
A slightly longer time interval
22/09/05 13
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A rogue trade on September 20, 2005
22/09/05 14
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Correlation based networks
The “traditional” MST
22/09/05 15
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The Planar maximally filtered graph
mst
22/09/05 16
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Work package 2
Modeling financial markets with Agent Based Models
- Ancona Unit
- Trieste Unit
22/09/05 17
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Work package 3
Structure and efficiency of financialmarkets
- Palermo Unit
- Piemonte Orientale Unit
- Rome 1 Unit
- Florence Unit
22/09/05 18
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Work package 4
Portfolio choices
- Palermo Unit
- CMA -> Rome 2 Unit
- Rome 1 Unit
- IAC CNR Unit
22/09/05 19
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Conferences
Conference at Roma 2 December (5-7) with a session on “Physics in Finance”chairman Prof. M. Bagella
Workshop on Grid Technology for FinancialModeling and Simulation to be held in Palermo, Italy, from February 3 to 4, 2006 (Chairmen S. Cozzini, S. d’Addona, R.N.Mantegna)