ExperimentalFinanceLecture-2L

ExperimentalFinanceLecture-2L - Experimental Finance IEOR...

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Experimental Finance IEOR Department Mike Lipkin, Pankaj Mody
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Experimental Finance Mike Lipkin, Alexander Stanton Page 2 Housekeeping Lab/home connectivity? Problem Set 2 due next week Office Hours 5:15pm to 8:00pm in Rm 318 (if the main door is locked, call 212-854-2987) Also due next week, ONE person from each group, please email Pankaj ([email protected]) and Marco ([email protected]): List of team members and their UNI Ids
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Experimental Finance Mike Lipkin, Alexander Stanton Page 3 Outline Tables Select Statements Joins and Views Indices
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Experimental Finance Mike Lipkin, Alexander Stanton Page 4 Some Basic Database Design Background Four Basic Building Blocks: Tables : Information is split into multiple tables in order to minimize redundant information storage and to maximize speed of data return Indices and Keys : Organizing indices in an efficient manner so that queries return data quickly Views : Aggregation of table information into one virtual table Stored procedures and Functions : Similar to functions in C – can pass data by reference or by value. Have the added capability of returning a query result.
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Experimental Finance Mike Lipkin, Alexander Stanton Page 5 Tables and Normalization Normalization
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Experimental Finance Mike Lipkin, Alexander Stanton Page 6 Table Structures Tables are normalized and split up for the following reasons: Reduce storage by eliminating redundancy Querying smaller datasets is always faster Data management and storage for real-time systems: Data of the same type (i.e. same columns) can be split into multiple tables and stored on different drive clusters with their own controllers for simultaneous access.
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Experimental Finance Mike Lipkin, Alexander Stanton Page 7 Database Keys Tables must have primary keys so that each row is uniquely identifiable. A primary key may consist of one or more columns Key: SecurityID Key: SecurityID, Date Key: SecurityID, Date, Expiration, Strike, callPut SECURITY SECURITY_PRICE OPTION_PRICE
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Experimental Finance Mike Lipkin, Alexander Stanton Page 8 Database Keys - continued Keys can be based on columns that contain l information z e.g. Social security number ISBN number for books Is the ticker symbol a good key choice?
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Experimental Finance Mike Lipkin, Alexander Stanton Page 9 Database Keys - continued Keys can be based on columns that contain l information z e.g. Social security number ISBN number for books Is the ticker symbol a good key choice? No. Any data that has a remote possibility of changing is never a good candidate for a primary key Historical data would require time-consuming updates when a corporate name change occurs Existing queries and stored procedures might break if keys are referenced in any way (say as part of temporary or result tables)
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Experimental Finance Mike Lipkin, Alexander Stanton Page 10 Database Keys Additional reasons not to use data elements as primary keys: Possibility of nulls
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ExperimentalFinanceLecture-2L - Experimental Finance IEOR...

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