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Real-time price anomaly detection for market data quality monitoring

Market Data Detective

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.

Eckdaten

Projektleitung

Projektpartner

SIX Group AG / SIX Financial Information

Projektstatus

abgeschlossen, 10/2016 - 12/2017

Institut/Zentrum

Institut für Datenanalyse und Prozessdesign (IDP); Institut für Informatik (InIT)

Drittmittelgeber

Dritte

Projektvolumen

80'000 CHF