Algorithmic Music derived from Financial Market Data - Baptiste Bohelay - Arbitragis Trading.

We are studying ways to improve the intuitive cognition of high frequency data of an orderbook. We use a software inspired by the French research center on music and sound (IRCAM), Pure Data, to "shape" sounds of financial data. Our conclusion is that the hidden melody of markets is quite ... noisy. A future project will try and create better melodic lines based on stock prices, and try and create canon structures with highly correlated stocks. A Youtube video of sound and shape of our resarch will follow soon.

Algorithmic_music.pdf — PDF document, 196Kb