Unlocking the value in data
Unlocking the value in data
Why big data is no big problem thanks to MQD – the world’s most sophisticated data-research suite
The world’s financial markets are complex beasts that constantly shift and change.
On a micro level, day-to day-trades may suddenly emit ripples that can unexpectedly turn into huge waves of volatility, which then subside having left chaos in their wake.
On a macro level, governments and regulators can institute policy decisions that upend existing realities. What will be the impact of Brexit, not just on European and UK markets but also globally? Similarly, the EU’s Mifid II regulatory changes are set to transform Europe’s financial markets, with the impact felt further afield.
In such an environment, access to timely information is key to understanding what’s going on and what that means for market fairness and efficiency.
“The person who has the most data essentially has the honeypot of information,” says Associate Professor Vito Mollica, head of CMCRC-SIRCA’s Finance Research Centre.
“People are talking about big data and it’s become a buzzword, but in financial markets we’ve known about its importance for more than 20 years.”
Vito says that with securities markets now generating upwards of two million transactions per second, bodies such as companies, exchanges and regulators “face the prospect of ingesting huge volumes of data in order to be able to build and run their data models, whether for trading, research or backtesting purposes”.
Finding the solution
The solution to this daunting problem is a cloud-based research infrastructure tool developed by the CMRC-SIRCA team. Called MQD (which stands for Market Quality Dashboard), it is the world’s most sophisticated data-research suite.
“MQD allows you to visualise and analyse your own data, or external data, and it quantifies for you a series of metrics that we from our 20-year-plus history have identified as measures of market fairness and efficiency,” Dr Mollica explains.
One of the great advantages of MQD is that, depending on your data needs, the whole suite can be used, or you can utilise its components:
“MQD Numbers is for people who want to access data,” says Dr Mollica. “MQD Insights is for people who don’t want to analyse data, but who just want to see results; and MQD Analytics is for full control over the data, its processing and the way that they are presented.”
MQD also provides access to Uptick, which Vito calls “an easy-to-use open source Python framework for analysing financial datasets.”
“It’s designed for non-programmers, and is supplemented by a fully online self-paced 12-module training course so the user can become an expert in no time.”
A next-generation tool – 20 years in the making
The MQD is not “an overnight product”. Rather, it has been developed and improved over 20 years and incorporates historical as well as current data.
CMCRC-SIRCA’s world-leading Industrial PhD program has been central both to MQD’s evolution and the value it provides.
"Our researchers work with business and industry on trying to solve a number of problems. Over our 20-year history, we have collected an incredible databank of interesting problems that regulators, exchanges and others have faced."
To ensure MQD keeps delivering value to users, it is regularly updated and fine-tuned: “The Industrial PhD researchers have been codifying metrics of interest, and running those metrics over all of markets covered by the MQD.”
MQD meets the needs of industry and academics
Dr Mollica says financial markets and research-intensive organisations require three key things: data, infrastructure and talent.
“Their own data is often fragmented, increases in size, complexity and bias. Their infrastructure can be plagued by legacy issues, lack of integration, set up costs, and scalability. And talent is expensive, difficult to source and train.
“That’s why MQD is such a great solution. We supply the data, the infrastructure and the talent – our top-class Industrial PhD researchers who can be embedded within a company or organisation to help navigate and solve their problems.”
Dr Mollica points out that MQD is also a great tool for university academic researchers.
“Academics are supposed to be at the forefront of knowledge. They are always interested in identifying new data sources, but they also do a lot of repetitive tasks because they might analyse the same problem but in a different market - so then it’s just a repeat process.
“MQD helps them to speed up the process because it lets them pull the data, merge the data, and then visualise and analyse the data.”