Explaining extreme price moves with machine learning
Project Mosaic detects and explains extreme price moves in real time, so equity traders understand why the price has changed - and can respond rapidly.
Problem and opportunity
Extreme price movements occur suddenly and without warning, often affecting pricing and volatility.
Traders typically go through a slow and painstaking process of sourcing and analyzing disparate information to identify the cause of a price anomaly.
Financial institutions have a significant amount and variety of data and datasets at their disposal, but these are rarely combined to uncover new insights. This is the challenge which Project Mosaic aims to solve.
Explaining sudden price moves
Mosaic combines real-time analytics, machine learning, and intelligent search processes across different datasets.
Real-time analytics are used to detect price movement, while an anomaly detection machine learning model, trained using historical data, confirms that a price move is anomalous.
Mosaic connects relevant pricing, news, social media and events data, and shows individual news stories, social media comments, publication times and events as nodes on the price graph. This provides direct correlation between the stock price and factors that have affected it.
It also tracks price movements related to other companies in the sector to identify relevant industry trends. Armed with this knowledge, traders can more rapidly assess the situation and take necessary action.
Mosaic in action
With an understanding of the key factors that have caused an extreme price move, Mosaic users can perform a rapid situation analysis and response.
This prototype includes:
- Real-time identification of anomalous price moves in the market
- An alert summary panel to help provide context to the price move by listing historical price summary information and highlighting the most important information associated with the move across events, news and sectors
- Ability to rapidly assess price moves and make decisions
- Competitive advantage based on a proactive approach
- Provision of analysis for both real-time and historical price moves
Ievgen Goichuk and Jingwei Zhang from Refinitiv Labs discuss how using machine learning can explain extreme price moves
Mosaic is a practical solution and developing project. It combines several strong analytical tools from Refinitiv and its partners to provide a higher level of analytics for anomaly detection and the explanation of price moves. Ongoing research will continue to improve Mosaic, making it a compelling solution for traders in a challenging market.
A collaborative approach
Refinitiv Labs takes a collaborative, customer-focused approach to building solutions to real problems in financial markets by combining customer feedback, extensive data capability and exceptional partner technologies.
Refinitiv partner technologies
Collaborating with our customers:
- Sharing goals to ensure Mosaic will be a useful customer solution
- Incorporating customer feedback into every stage of the development process
- Considering customer ideas about potential use cases beyond equity trading
- Meetings with customers to demonstrate and discuss prototypes of Mosaic
What Refinitiv Labs is thinking next...
- Rolling out a global pilot program to 50 Refinitiv customers to gain additional intelligence
- Integrating Mosaic into the Refinitiv Workspace smart desktop
- Implementing Mosaic analytics alongside the Elektron Data Platform to provide access to analytics data on-demand via an application programming interface (API)