Enterprise Applications and Services in the Finance Industry (eBook)

Preface 5
Organization 9
Table of Contents 11
Keynote 11
Data + Information Systems = Financial Innovation 13
Introduction 13
Financial Innovation 14
Financial Computing in Support of Innovation 16
Interoperability 16
Standards and Mark-Up Languages 17
Services Computing and Innovation 19
References 22
Markets and Customers 11
The Effect of Automated Trading on Market Quality: Evidence from the New York Stock Exchange 23
Introduction 23
Related Work 24
The NYSE Hybrid Market 25
Data and Methodology 26
Data Source 26
Sample Selection 26
Market Measures 27
Research Design 29
Results 30
Descriptive Statistics 30
Regression Analysis and Interpretation 32
Conclusion 39
References 40
Know the Flow: Sentiment Extraction from Retail Order Flow Data 43
Introduction 43
Related Research 44
Measures of Investor Sentiment 44
The Relationship between Investor Sentiment and Stock Returns 45
Discussion of the Literature 46
Data 47
European Warrant Exchange 47
Key Facts 48
Data Description 49
Index Calculation 50
Analysis 51
Covariance Analysis 51
Cross-Sectional Portfolio Formation 55
Conclusion and Future Work 56
References 57
Modelling Customer Behaviour in Multi-channel Service Distribution 59
Introduction 59
Multi-channel Customer Behaviour 61
Trial of New Channels 63
Choice between Channels 65
Continuous Use of Channels 66
Research Approach: Defining the Constructs 68
The Attributes 69
Context Variables 69
Expectancy, Disconfirmation and Desire 70
Defining the Attributes: Laddering 70
Conclusion 70
References 71
Service-Oriented Architectures 11
A User-Driven Environment for Financial Market Data Analysis 76
Motivation and Introduction 76
A Conceptual Model for Analysing Financial Market Data 78
Basic Event Concepts 78
Event-Based Services 79
Case Study 80
Price Jump Detection 81
News Summarization 81
Implementation 82
Using Triana as a Service Composition Tool 82
Specifying a Price Jump Detection Process 83
Specifying a News Analysis Process 84
Specifying the Complete Process with an Embedded Component 86
Related Work 87
Conclusion 87
References 88
Proposing the Relationship between IT Business Alignment and the Business Value of Service-Oriented Architectures in Financial Firms 90
Introduction 90
Service-Oriented Architectures and Related Research 92
Model Development 93
Efforts and Risks Associated with SOA 93
Contribution of SOA’s General Potentials to Business Value 95
Deriving Business’ Demands on the IT Architecture 97
IT Business Alignment (ITBA) 99
Conclusion and Outlook 102
References 102
Building the Business Case for SOA: A Study of the Business Drivers for Technology Infrastructure Supporting Financial Service Institutions 106
Introduction 106
Service Oriented Computing 107
What Constitutes a Service? 107
Service Oriented Architecture (SOA) 108
Technology Implementations of SOA 109
Current State of Industry Adoption 109
The Empirical Study 110
Understanding the Business Drivers for SOA 112
Articulating the Business Case for SOA 113
Strategic Value Proposition 113
Tactical Value Proposition 114
Operational Value Proposition 114
Related Work 115
Contribution and Future Research 116
References 117
Compliance and Regulation 11
Model Based IT-Governance Compliance Analysis 120
Introduction 120
Structural Design Method 121
Metamodel Construction 122
Problem Formulation 122
Requirement Specification 123
Model Concept 123
Concept Validation 125
Implementation 125
Verification 129
Validation On the Basis of an Example 130
Conclusion 135
References 136
The Implementation of European Best Execution Obligations- An Analysis for the German Market - 138
Introduction 138
Implementation Options for Best Execution Processes 140
Sample and Procedure 143
Minimum Legal Requirements for the Best Execution Policies 143
Special Aspects of the Best Execution Policies 147
Analysis of the Execution Venues Specified 151
Summary and Outlook 154
References 155
The EU Insurance Mediation Directive – Bureaucracy or Opportunity? 157
Introduction 157
Documentation Requirements 158
The Insurance Mediation Directive and Its Transposition into German Law 158
Proposed Documentation Templates 159
Data Quality 160
Case studies 165
Advisory Process: Economic Effects of a Higher Completeness of Customer Data 166
Campaign Management: Economic Effects of a Higher Currency of Customer Data 166
Conclusion 167
References 167
Author Index 174