Market Data Detective
Real-time price anomaly detection for market data quality monitoring
At a glance
- Project leader : Nils Andri Bundi
- Project team : Dr. Thoralf Mildenberger, Prof. Dr. Kurt Stockinger
- Project budget : CHF 80'000
- Project status : completed
- Funding partner : Third party
- Project partner : SIX Financial Information AG
- Contact person : Nils Andri Bundi
Description
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.