A Flexible and Extensible Contract Aggregation Framework for Financial Data Stream Analytics

Supervisors who are focused on financial stability need to understand risks and vulnerabilities emerging across the diverse financial system. This paper describes a framework for organizing databases that would use financial contracts as the “common denominator” to enable the integration and aggregation of financial data from a wide range of sources. A database organized this way could allow researchers greater flexibility in uncovering and aggregating information about financial products with common attributes that could pose financial stability concerns, such as high leverage or short maturities.

Abstract

The paper presents the Contract Aggregation Framework (CAF) for the modeling and analysis of data streams representing arbitrary financial contracts, ranging from privately negotiated deals to exchange-traded securities. We discuss the need for a flexible and extensible data model and provide an exemplar representing trading in corporate equities and bonds. Using a measure of Market volume, we review several analytical methods to explore the data. Initial observations support the benefits of the framework to integrate and analyze disparate sources of data.

Keywords: Data stream, Market volume, Financial contract, Extensible model, Financial analytics, Tensor decomposition