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Author:Lindström, Jyri
Title:Algorithmic trading and complex event processing
Algoritminen kaupankäynti ja monimutkaisten tapahtumien käsittely
Publication type:Master's thesis
Publication year:2010
Pages:(8) + 69      Language:   eng
Department/School:Informaatio- ja luonnontieteiden tiedekunta
Main subject:Tietokoneverkot   (T-110)
Supervisor:Ylä-Jääski, Antti
Instructor:Tarkoma, Sasu ; Nyholm, Teemu
OEVS:
Electronic archive copy is available via Aalto Thesis Database.
Instructions

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Location:P1 Ark Aalto     | Archive
Keywords:event
complex event
complex event processing
CEP
event processing language
EPL
algorithmic trading
C#
tapahtuma
monimutkainen tapahtuma
monimutkaisen tapahtuman käsittely
tapahtuman käsittelykieli
algoritminen kaupankäynti
Abstract (eng): The purpose of this thesis is to study the applicability of Complex Event Processing (CEP) to Algorithmic Trading.
Typically trading algorithms are implemented using traditional programming languages like C++/C#/Java.
Complex Event Processing (CEP) is a generic technology that can be used to process large amount of events and find out meaningful event patterns from an event cloud.

The research is conducted by designing and implementing architecture and framework for an algorithmic trading system.
In addition to the implemented Algorithmic Trading System four trading algorithms are implemented using open source CEP engine NEsper and its Event Processing Language (EPL).

The suitability of CEP for Algorithmic Trading was evaluated on the basis of performance tests and experience gained on trading algorithm implementation.
Complex Event Processing was found to be a suitable technique for Algorithmic Trading.
Abstract (fin): Tämän opinnäytteen tarkoituksena on tutkia monimutkaisten tapahtumien käsittelyn soveltuvuutta algoritmiseen kaupankäyntiin.
Tyypillisesti kaupankäyntialgoritmit toteutetaan C++/C#/Java ohjelmointikielillä.
Monimutkaisten tapahtumien käsittely on yleiskäyttöinen tekniikka, jota käytetään suurten tapahtumamäärien käsittelyyn ja merkityksellisten tapahtuma kuvioiden havaitsemiseen tapahtuma pilvestä.

Tutkimus suoritetaan suunnittelemalla ja toteuttamalla algoritmisen kaupankäyntijärjestelmän arkkitehtuuri ja kehikko.
Toteutettuun kaupankäyntijärjestelmään toteutetaan neljä kaupankäynti algoritmia käyttäen avoimen lähdekoodin monimutkaisten tapahtumien käsittely moottoria NEsper ja sen tapahtumien käsittely kieltä.

Monimutkaisten tapahtumien käsittelyn soveltuvuutta algoritmisen kaupankäyntiin arvioitiin suorituskykytestien ja kaupankäyntialgoritmien toteutuksessa saatujen kokemusten perusteella.
Monimutkaisten tapahtumien käsittelyn havaittiin sopivan algoritmiseen kaupankäyntiin.
ED:2010-08-27
INSSI record number: 40306
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