Financial mathematicians think they can predict the future by looking at time series of trades and quotes (called ticks) from the past. The main evidence for this hypothesis is that prices fluctuate only by a small amount in a given day and more or less obey the mathematics of a random walk. The hypothesis allows traders to price options and to speculate on stocks. This demonstration presents a query language and a parallel database (50-way parallelism) to support traders who want to analyze every tick, not just end-of-day ticks, using temporal statistical queries such as time-delayed correlations and tick trends. This is the first attempt that we know of to store and analyze hundreds of gigabytes of time series data and to query that data using a declarative time series extension to SQL (available at www.kx.com).
金融数学家认为,他们可以通过查看过去的交易和报价(称为报价)的时间序列来预测未来。该假设的主要证据是,价格在给定的一天中仅波动很小,并且或多或少地遵循随机游走的数学原理。该假设使交易者可以对期权进行定价并可以对股票进行投机。该演示提供了一种查询语言和一个并行数据库(50向并行度),以支持想要使用时态统计查询(例如延时相关性和报价趋势)分析每个报价(而不仅仅是日末报价)的交易者。这是我们知道的第一次尝试,用于存储和分析数百GB的时间序列数据,并使用声明性的SQL时间序列扩展名(可在www.kx.com上查询)来查询该数据。 P>
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