Market Data Detective
Real-time price anomaly detection for market data quality monitoring
Auf einen Blick
- Projektleiter/in : Nils Andri Bundi
- Projektteam : Dr. Thoralf Mildenberger, Prof. Dr. Kurt Stockinger
- Projektvolumen : CHF 80'000
- Projektstatus : abgeschlossen
- Drittmittelgeber : Dritte
- Projektpartner : SIX Financial Information AG
- Kontaktperson : Nils Andri Bundi
Beschreibung
SIX Financial Information AG is a financial data vendor. Billions of price messages are processed and delivered to clients by SIX every day. In order to improve market data quality, project “Market Data Detective” aims at developing and evaluating the effectiveness of new, mostly automated and innovative data plausibility checks. Such an automated, rule-based approach to data plausibility checks is expected to improve quality and transparency of market data while, at the same time, reducing costs.