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INFORMATION VISUALIZATION FOR STOCK MARKET TICKS: TOWARD A NEW TRADING INTERFACE

Another well-known empirical fact is the predictability of stock returns by variables that are informative about the business cycle. 1 The evidence suggests that the equity premium is time varying, that is, it is higher at business cycle troughs than at peaks. In an equilibrium asset pricing model, time variation in the equity premium must be explained by time variation in the price or quantity of risk. Although there is some evidence for time variation in risk, it cannot be reconciled with the evidence for expected returns in a way that offers a consistent description of the time-varying trade-off between risk and return (see Harvey (1989) for evidence on. | Information Visualization for Stock Market Ticks Toward a New Trading Interface by Pasha Roberts B.A. Economics Russian Studies College of William and Mary 1984 Submitted to the MIT Sloan School of Management in Partial Fulfillment of the Requirements for the Degree of Master of Science at the Massachusetts Institute of Technology February 2004 2003 Pasha Roberts. All rights reserved The author hereby grants to MIT permission to reproduce and to distribute publicly paper and electronic copies of this thesis document in whole or in part. Signature of Author MIT Sloan School of Management December 5 2003 Certified by Andrew W. Lo Harris Harris Group Professor Thesis Supervisor Accepted by Margaret C. Andrews Executive Director of the Sloan MBA Program Information Visualization for Stock Market Ticks Toward a New Trading Interface by Pasha Roberts Submitted to the MIT Sloan School of Management on December 5 2003 in Partial Fulfillment of the Requirements for the Degree of Master of Science in Management Abstract Ticks the second-to-second trades and quotes of a market might be considered the atoms of finance. They represent the basic defining transactions that represent an asset in the market. Almost all financial concepts such as returns or risk are essentially abstractions from tick data. Like atoms ticks form a truly massive dataset - millions per day far too numerous to represent with traditional graphical methods. Information-intensive disciplines such as medicine bioinformatics the earth sciences and computational fluid dynamics have adopted modern visualization methods to manage and explore their respective mountains of data. Finance however has done little with the discipline of visualization to date. This research 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