Many cognitive studies have demonstrated forcefully the well-known fact that human cognition is primarily visual, not numerical. Despite this fact, the most common basis for presenting and analyzing quantitative research in financial engineering is still numerical, e.g., spreadsheets and tables. Some have argued that visualization is less important for financial applications because of the high dimensionality of the problems or because they are strongly based in accounting structures in which spreadsheets are the more natural paradigm. These arguments have been refuted dramatically in other highly quantitative disciplines such as fluid dynamics, electrical engineering, mechanical engineering, molecular biology, and meteorology, in which visualization has come to play a central role in both basic research and industry applications.
advances in visualization techniques---both theoretical (new projective
geometries) and practical (faster rendering and real-time animation
capabilities)---are generating new research findings every day. One
of the recent projects focused on visualizing raw trade data using the TAQ
dataset with the goal of creating more efficient trading interface.
P. Roberts' Master's Thesis, "Information Visualization for Stock Market Ticks: Toward a New Trading Interface" presents the hypothesis that information visualization of tick data can improve human performance for intraday equity trading. To consider the hypothesis, the act of equity trading is broken into functional tasks, and the tasks mapped to information requirements. Using the TAQ historical dataset, the research evaluates new 2D and 3D information designs for tick data, and creates a visual language for equity trading.
The functional tasks and information designs are implemented in a visualization application, which provides an almost purely graphical trading interface to historical ticks. The user experience, trading performance, and analytical insight from this application are evaluated versus numeric methods. Based upon this experiment, the research explores the usability, potential issues and future directions of trading and tick visualization in general.
In addition to the refinement of current applications developed at the LFE, we hope to develop new applications in the areas of portfolio optimization with liquidity constraints, risk management, and trading technology.