Time Series Analysis with Java

<<<Attached word document with full explanation and xls file with examples.>>>

The program aim is to calculate several statistical analyses for several trades. So the basic structure should be a loop where several analyses are repeated for all the trades to be analyzed.

There will be several input files and one output file. The aim of the program is to analyse a list of trades and return several outputs of that analysis. Every trade will be a composition of rates (therefore there will be a file explaining how every trade is built and other file containing the historical rates information).

First step is to filter out the holiday points. Therefore for every currency (EUR, USD, …)

Second step is to analyze the trades. Iteration will be run to repeat the process for all the trades within the Trade definition file.

**PLEASE REFER TO ATTACHED FILES FOR A PROPER UNDERSTANDING OF THE REQUIREMENTS**

## Deliverables

<<<Attached word document with full explanation and xls file with examples.>>>

The program aim is to calculate several statistical analyses for several trades. So the basic structure should be a loop where several analyses are repeated for all the trades to be analyzed.

There will be several input files and one output file. The aim of the program is to analyse a list of trades and return several outputs of that analysis. Every trade will be a composition of rates (therefore there will be a file explaining how every trade is built and other file containing the historical rates information).

First step is to filter out the holiday points. Therefore for every currency (EUR, USD, …)

Second step is to analyze the trades. Iteration will be run to repeat the process for all the trades within the Trade definition file.

**PLEASE REFER TO ATTACHED FILES FOR A PROPER UNDERSTANDING OF THE REQUIREMENTS**

* * *This broadcast message was sent to all bidders on Tuesday Dec 26, 2006 8:34:10 AM:

Dear programmers,

Further to the specifications provided, please let me add/clarify several issues:

- Efficiency. The critical issue with this program is calculation time. The list of trades to analyse will be between 20.000 and 50.000 and every trade may have more than 10 years of history (3.650 data points), therefore good programming to increase efficiency is critical for the project. Please let me know what your thoughts are on how to handle this.

- The program will also calculate the minimum value and the maximum value of the trade and it will be reported in the output file. This is straight forward using colt libraries as well.

- Inputs / outputs: the program will ask for the analysis period (start and end dates) and will also ask for the path where the input files are and the path were the output file will be stored.

- Records: when filtering the Time Se ries according to the holiday information, the program will report the number of dates deleted per currency (i.e. 30 dates were deleted in USD, 15 in EUR…)

- If you may commit to a shorter development time, please let me know as it will be taken into account.

- This program will be the first one of other related programs to be developed.

According to the bids received the maximum bid has been taken down to USD80. As the specifications have been slightly modified you may move your bid accordingly.

Kind regards, and best wishes for 2007.

* * *This broadcast message was sent to all bidders on Tuesday Dec 26, 2006 2:57:20 PM:

Dear programmers,

Further to the specifications provided, please let me add/clarify several issues:

- Efficiency. The critical issue with this program is calculation time. The list of trades to analyse will be between 20.000 and 50.000 and every trade may have more than 10 years of history (3.650 data points), therefore good programming to increase efficiency is critical for the project. Please let me know what your thoughts are on how to handle this.

- The program will also calculate the minimum value and the maximum value of the trade and it will be reported in the output file. This is straight forward using colt libraries as well.

- Inputs / outputs: the program will ask for the analysis period (start and end dates) and will also ask for the path where the input fi les are and the path were the output file will be stored.

- Records: when filtering the Time Se ries according to the holiday information, the program will report the number of dates deleted per currency (i.e. 30 dates were deleted in USD, 15 in EUR.)

- If you may commit to a shorter development time, please let me know as it will be taken into account.

- This program will be the first one of other related programs to be developed.

According to the bids received the maximum bid has been taken down to USD80. As the specifications have been slightly modified you may move your bid accordingly.

Kind regards, and best wishes for 2007.

## Platform

The program will be run in Windows XP and will be written in Java

Mérnöki munka Java MySQL PHP Szoftverarchitektúra Szoftvertesztelés

Projektazonosító: #3965584

A projektről