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Big data framework for quantitative trading system

  • Shuji Dai (戴书吉)
  • Xing Wu (武 星)
  • Mengqi Pei (裴孟齐)
  • Zhikang Du (杜智康)
Article
  • 159 Downloads

Abstract

Massive trading data are produced in securities market every day. Besides, the amount of relevant social media data is also growing fast. It is a vital problem of making use of these data. Facing on the growing amount of data, using big data framework is a necessary and reasonable method. Then, a big data framework for quantitative trading system is proposed in this paper. In the framework, Apache Spark is chosen as the distributed computing framework to process trading data, and Apache HBase as the distributed database is used to store data. After introducing the whole framework, we discussed data sources and the structure of quantitative trading layer in detail.

Key words

big data framework quantitative trading Apache Spark 

CLC number

F 830.91 

Document code

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Copyright information

© Shanghai Jiaotong University and Springer-Verlag Berlin Heidelberg 2017

Authors and Affiliations

  • Shuji Dai (戴书吉)
    • 1
  • Xing Wu (武 星)
    • 1
    • 2
  • Mengqi Pei (裴孟齐)
    • 1
  • Zhikang Du (杜智康)
    • 1
  1. 1.School of Computer Engineering and ScienceShanghai UniversityShanghaiChina
  2. 2.Shanghai Key Laboratory of Financial Information TechnologyShanghai University of Finance and EconomicsShanghaiChina

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