London, U.K., June 29, 2011 - OneMarketData, a leader in tick data management and analytics, today announced that Rotterdam School of Management, Erasmus University (RSM) has selected OneMarketData's OneTick, the single solution for tick data management, analytics and complex event processing (CEP), to support the school's research into world-wide and asset-wide market liquidity.
RSM researchers will use OneTick to calculate statistics for three upcoming research papers. Specifically, the system will be used to:
- Construct intraday and daily summary statistics from roughly 100 terabytes of historical tick data, across several countries and asset classes over the last 20 years, to derive measures of transaction costs and liquidity
- Provide flexibility in merging quote, trade and order book data
- Reconstruct limit order books from submitted limit orders, while handling stale, canceled and updated quotes correctly and merging quotes from various trading venues
- Effectively import the aggregated data into other software to analyze cross-sectional and time-series patterns
"Global tick data volumes are growing exponentially year-over-year, which is exciting from an academic perspective as it gives us the data we need for research support and testing," remarked Dominik Rösch, PhD candidate at RSM and co-researcher of the RSM liquidity research team. "Analyzing what amounts to petabytes of data requires huge setup costs, and one of our biggest challenges is finding a cost-effective way to manage the required flexibility, disk space and CPU power. OneTick has enabled us to meet this challenge with the same cutting-edge technology employed by the most advanced financial institutions in business today."
By using OneTick, RSM researchers will benefit from the system's intuitive programming approach and fast, flexible, easy-to-use architecture that keeps storage requirements low. OneTick also offers built-in functionality that includes the Lee and Ready algorithm for signing trades, and ready-to-use data filters to handle outliers. The advanced platform integrates seamlessly with other programs, easily imports data from various sources, and includes a built-in profiler to detect bottlenecks in running queries.
"From Markowitz's Modern Portfolio Theory to the Black-Scholes Model, academia has always played a hugely important role in the world of quantitative finance," said Richard Chmiel, vice president at OneMarketData. "In order for our industry to continue to move forward, it is vital for those companies and institutions that use the work of academics to also support their research wherever they can. We believe that by assisting researchers at RSM, OneTick is helping to push the boundaries of what is possible in finance."
OneMarketData is a leading provider of enterprise tick data solutions for financial institutions worldwide. The company offers a suite of solutions, including OneTick® and OneQuantData. OneTick, the company's flagship product, is a comprehensive business solution designed to fully address the market's need for intraday data collection, archiving, retrieval, and analytics across a wide spectrum of users from various departments. OneQuantData harnesses the power of OneTick to deliver a comprehensive repository of historical reference and pricing data designed specifically for the global equities market. More information about OneMarketData is available at www.onetick.com.
About Rotterdam School of Management, Erasmus University
Rotterdam School of Management, Erasmus University is consistently ranked amongst the top 10 business schools in Europe. It is located in the international port city of Rotterdam where core Dutch values of openness, flexibility and acceptance of diversity have attracted businesses on a global scale. Our emphasis is on groundbreaking research and practices relevant to business; our primary focus is on developing business leaders who carry their innovative ideas into a sustainable future. Our portfolio includes a broad array of bachelor, master, doctoral, MBA and executive education programs. www.rsm.nl.
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