Forschungs- & Entwicklungsinformationsdienst der Gemeinschaft - CORDIS

High performance arbitrage detection

The high performance arbitrage detection and trading (HAT) involves the development of an integrated system for detecting and trading arbitrage in high frequency financial market data The HAT system enables financial analysts and traders to develop, test and use their own forecasting and trading models based on real-time monitoring of new synthetic instruments resulting from the mis-pricing of underlying assets. Due to the high volume of data manipulation and computation required by such a system , HAT utilizes a high performance computing and networking (HPCN) environment capable of detecting a high volume of mis-pricing conditions at real-time.

The HAT consortium is developing a software framework to support relative-value arbitrage trading in the FX, Equity, and Fixed Income markets using a range of methodologies from classical zero-risk arbitrage conditions, though linear statistical relationships, to the most advanced non-linear models. This approach will assist financial analysts and traders in getting an early view of the usefulness and practicality of their ideas and thus help them explore many more possibilities than is currently feasible with the resources that they have available. The tools being developed will allow analysts and traders to create and test their own forecasting and trading models based on real-time monitoring of new synthetic instruments resulting from the mis-pricing of underlying assets. A comprehensive set of these mis-pricings is being developed for publication within the financial institutions participating in the HAT Consortium.

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