High-frequency Finance Research Platform,
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The current economic crisis is a testament of the deficiency of modern economic theory and its tools of analysis. We plan to build a research platform for a global information system of the economy and the financial markets. The platform utilizes the discoveries of high frequency finance to develop an innovative approach of economic modelling and analysis of trader behaviour by combing a broad range of disciplines.

Our Proposal:

We propose to embark on a project to develop a High-frequency Finance Research Platform. This platform will be used to improve the understanding of market dynamics. The long-term goal is to build a platform that serves both researchers and the general public. For researchers, it will be a research and simulation platform. For the general public, it will generate online forecasts of the general economy and the financial markets, very much like a weather forecast . To achieve this objective, the platform has to collect fundamental data and market price information. This data is used to feed fundamental models of the economy and to construct maps of how market participants build positions that may ultimately give rise to cascading price moves causing economic crisis. The platform is both a research tool for innovative model building and serves as an operational infrastructure to operate the models on an ongoing basis allowing for 24/7 validation of the forecasts of the models that have been developed.

The system that we propose to build will be a web-based, open-source system . Users may upload their modules, and construct interactions between modules. Modules may vary from simple data-retrieval modules to sophisticated financial models. They may also be analysis tools or graphic interfaces. Crucial to the platform is a set of databases, which we intend to collect . By building and connecting modules, the user may use the data to verify or experiment with different financial models. Human interaction is inevitably laborious. Interface will be designed to allow the platform to interact with computer programs. This will allow us to make use of optimization tools to find models. The diagram below shows the overall architecture of the system.

The platform is intended to be open-source. This will encourage researchers all over the world to participate. The project involves expertise from different disciplines, including finance, economics, computational intelligence (for model building), mathematics, computer and behavioural sciences. Following are some of the ways that this platform can be used:

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Maintained by: Edward Tsang; Created: 2009.06.16; Last Updated: 2010.09.21