Financial Markets Data Collection Using the Information Model of Interagency Cooperation and the International System of Codification of Financial Instruments

Abstract

One of the main problems in the organization of inter-system data exchange and the comparison of data coming from different sources is the identification of similar objects. To solve this problem, it is necessary that the users of information services agree on the rules for naming objects and their identification. In global communities, such as the community of stock market participants, the consistency problem requires the creation of a permanently functioning structure that tracks all changes in the sources of data providers, and updates the codification system data in accordance with these changes. The codification system allows comparison of data coming from different sources and provides quality data to end users. The global stock market is one of the most information rich sectors; performing analysis of stock market data assumes the availability of information from various sources: the various tax authorities, statistical bodies, the national settlement depository, stock exchanges and other sources. In order to collect data from different sources, a methodology is needed to transform the data and bring it to a comparable level.

The article describes the experience of applying the information model of inter-agency interaction based on the distributed data core using the codification system. The model presents the organization of a data exchange, which is based on a three-layer core. The article describes the experience of using this model to collect and analyze stock market information. Finally, an example of the model is presented using international identification systems, in particular, a global identification system is considered for the identification of legal entities, and the financial instrument identifier FIGI is considered for the stock market instruments.