Welcome to DiSC 2002
SIGMOD 2001
= SIGMOD'01 Website
= SIGMOD/PODS'01 Plena
<<< = SIGMOD'01 Papers>>>
= Demos
= Industrial Sessions
= Panels
= Tutorials
PODS 2001
SIGMOD RECORD 2001
CIKM 2001
CoopIS 2001
DASFAA 2001
DASFAA 2000
DBPL 2001
Data Engineering Bul
DEXA_EC-WEB 2001
DMKD 2001
DPDJ 2001
HYPERTEXT 2001
ICDE 2001
ICDM 2001
ICDT 2001
JCDL 2001
KDD 2001
KDD_EXPLORATIONS 20
KRDB 2001
MDM 2001
MIR 2001
MIS 2001
RIDE 2001
SBBD 2001
SIGIR 2001
SIGIR FORUM 2001
SSDBM 2001
SSTD 2001
TODS 2001
TIME 2001
VLDB 2001
VLDBJ 2001

Lots o'Ticks: real time high performance time series queries on billions of trades and quote


Arthur T. Whitney and Dennis Shasha

  View Paper (PDF)  

Return to Demostrations


Abstract

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 uctuate 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).


DiSC'02 © 2003 Association for Computing Machinery