Alchemy: Distributed financial quantitative analysis system with high‐level programming model. (10th May 2021)
- Record Type:
- Journal Article
- Title:
- Alchemy: Distributed financial quantitative analysis system with high‐level programming model. (10th May 2021)
- Main Title:
- Alchemy: Distributed financial quantitative analysis system with high‐level programming model
- Authors:
- Gu, Rong
Zhang, Zhixiang
Xu, Zhihao
Wang, Zhaokang
Zhang, Kai
Yuan, Chunfeng
Huang, Yihua - Abstract:
- Abstract: Nowadays, the financial securities investment and transaction are processed digitally. The securities companies have accumulated a large amount of financial data. Given that, quantitative analysis has become a common method for securities investors. However, as the scale of data continues to grow, data storing and processing have increasingly become a big challenge to financial quantitative analysts. First, most existing stand‐alone quantitative analysis systems are hard to accelerate data processing in a distributed way. Second, existing distributed computing frameworks such as Apache Spark demands financial quantitative analysts with expertise knowledge on distributed computing. Third, transition from traditional stand‐alone financial quantitative analysis (FQA) system to such distributed computing system often introduces learning efforts and development overheads. To solve these problems, we propose Alchemy, a distributed processing platform tailored for FQA with high‐level programming interface. Alchemy offers distributed computing service and provides a pipeline‐based programming model which shares many similarities with the traditional stand‐alone systems, reducing learning efforts for financial quantitative analysts. The performance of Alchemy is evaluated in both experimental environment and a real‐world production environment in Huatai Securites which is a leading financial company in China. The results show that Alchemy is able to achieve up to 300 timesAbstract: Nowadays, the financial securities investment and transaction are processed digitally. The securities companies have accumulated a large amount of financial data. Given that, quantitative analysis has become a common method for securities investors. However, as the scale of data continues to grow, data storing and processing have increasingly become a big challenge to financial quantitative analysts. First, most existing stand‐alone quantitative analysis systems are hard to accelerate data processing in a distributed way. Second, existing distributed computing frameworks such as Apache Spark demands financial quantitative analysts with expertise knowledge on distributed computing. Third, transition from traditional stand‐alone financial quantitative analysis (FQA) system to such distributed computing system often introduces learning efforts and development overheads. To solve these problems, we propose Alchemy, a distributed processing platform tailored for FQA with high‐level programming interface. Alchemy offers distributed computing service and provides a pipeline‐based programming model which shares many similarities with the traditional stand‐alone systems, reducing learning efforts for financial quantitative analysts. The performance of Alchemy is evaluated in both experimental environment and a real‐world production environment in Huatai Securites which is a leading financial company in China. The results show that Alchemy is able to achieve up to 300 times speedup compared against existing financial quantitative analysis systems. … (more)
- Is Part Of:
- Software, practice & experience. Volume 51:Number 8(2021)
- Journal:
- Software, practice & experience
- Issue:
- Volume 51:Number 8(2021)
- Issue Display:
- Volume 51, Issue 8 (2021)
- Year:
- 2021
- Volume:
- 51
- Issue:
- 8
- Issue Sort Value:
- 2021-0051-0008-0000
- Page Start:
- 1676
- Page End:
- 1699
- Publication Date:
- 2021-05-10
- Subjects:
- distributed systems -- financial quantitative analysis -- pipeline programming model
Computer software -- Periodicals
Computer programming -- Periodicals
Computer programs -- Periodicals
005.3 - Journal URLs:
- http://onlinelibrary.wiley.com/ ↗
- DOI:
- 10.1002/spe.2982 ↗
- Languages:
- English
- ISSNs:
- 0038-0644
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 8321.453000
British Library DSC - BLDSS-3PM
British Library STI - ELD Digital store - Ingest File:
- 17446.xml