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Hedge funds, investment managers and prop shops need to keep pace with rapidly growing data volumes from many sources. SciDB—an advanced computational database programmable from R and Python—scales out to petabyte volumes and facilitates rapid integration of diverse data sources. Open source and running on commodity hardware, SciDB is extensible and scales cost effectively. Attend this webinar to learn how quants and system developers harness SciDB’s massively scalable complex analytics to solve hard problems faster. SciDB’s native array storage is optimized for time-series data, delivering fast windowed aggregates and complex analytics, without time-consuming data extraction. Webinar presenters will demonstrate real world use cases, including the ability to quickly: 1. Generate aggregated order books across multiple exchanges 2. Create adjusted continuous futures contracts 3. Analyze complex financial networks to detect anomalous behavior
Citation preview
Massively Scalable
Computational
Finance with SciDB
Bryan Lewis
Chief Data Scientist
Frank Smietana
Solutions Architect
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GoToWebinar
• Ask questions using the
Q&A window
• This webinar is being
recorded
• Replays will be available
from paradigm4.com
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Common issues
• Expensive data ETL
• Lack of horizontal scalability
• Hard to program
• Hard to extend
• Difficulty with data JOINS
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What is SciDB?
Massively scalable
distributed array database
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What is SciDB?
Open source
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Mike Stonebraker CTO
What is SciDB?
© Paradigm4 Inc.
Lawrence Berkeley
NASA Goddard
Projects using satellite image data
Institute for Geoinformatics
Global land change analysis on remote
sensing data (LANDSAT, MODIS, SENTINEL)
Lawrence Berkeley
Big Science and SciDB
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Commercial applications Pharma, Biotech, Healthcare
Quantitative Finance
Image & Sensor Analytics
E-commerce
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Arrays for finance
Symbol
Tim
e
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Fast multidimensional SELECTs
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Table model i j data
1 1 0.5
1 2 0.3
1 3 0.1
1 4 -0.5
2 1 0.9
2 2 0.0
2 3 -0.8
2 4 -0.8
3 1 1.1
3 2 1.0
3 3 1.2
3 4 1.5
4 1 0.9
4 2 1.0
4 3 1.2
4 4 1,5
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Array model
0.5 0.3 0.1 -0.5
0.9 0.0 -0.8 -0.8
1.1 1.0 1.2 1.5
0.9 1.0 1.2 1.5
j
i
(1,1)
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Our approach
• Less data movement
• Spatial data clustering
• Leverage popular languages
• Extensibility
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C++
Julia
Java/JVM
Javascript
Array SQL
Use Popular Languages
JDBC
Protocol buffers
C/C++ API
HTTP
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SciDB
0
SciDB
…
SciDB
1
SciDB
2
Shared-nothing architecture
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Common issues
• Expensive data ETL
• Lack of horizontal scalability
• Hard to program
• Hard to extend
• Difficulty with data JOINS
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SciDB
• Minimize ETL
• Massively scalable
• Program from many languages
• Open-source extensibility
• Fast parallel JOIN
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Poll
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Examples
• Order books
• Network analysis
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Order book challenges
• Lots of exchanges
• Regulatory compliance
• Margins are shrinking
• Want more alpha
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Create order book
• Load raw data into array
• Dimension along symbol and time
coordinate axes
• Create order book entries with
custom aggregation function ORDERBOOK
https://github.com/Paradigm4/orderbook-example
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Consolidate order books
• Load as arrays
• Merge into single array
• Impute missing value
(inexact temporal join)
• Aggregate by time and symbol
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Example Order Books
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Merge and impute
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Consolidated Order Book
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Benchmark Results
• 9 exchanges; 358,000,000 events; 8,000 symbols
• Order book depth: 10
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Financial network analysis
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A graph
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Sparse matrix representation
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Bitcoin transactions A directed graph
Represented as a nonsymmetric
sparse matrix
From
address
To
address Date, Amount,
Transaction ID
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Bitcoin network schema
(using the Reid/Harrigan user ID method)
Identify important nodes
• Kleinberg HITS method
• Subgraph centrality
• Fielder clustering
• Other methods...
Bitcoin subgraph centrality
• Identify top 5 most central hub and authority nodes
• 16.3M nodes
• 6.3M x 6.3M sparse matrix
• 8-instance SciDB cluster on a single workstation (8 cores)
• 20 seconds
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Correlation network
1 Compute bar data closing
prices from TAQ trades
2 na.locf imputation
3 Correlation matrix across all
instruments
4 Regularize
5 Precision matrix
6 Threshold
7 Plot clusters
All inside SciDB up to plot
Take away
• Bringing the analysis to the data
• In-database complex math
• Parallel time series analysis
• Programmable from C++, R, Python ...
• MPP on commodity clusters, clouds
• Extensible, open-source
www.paradigm4.com
© Paradigm4 Inc.
Questions?
Tell us about your application • info@paradigm4.com
Try our Quick Start • scidb.org/forum
• Download a VM or EC2 AMI
www.paradigm4.com
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