A constraint-based approach for analysing financial market operations

Abstract

The article describes a framework for modelling and verification of constraint rules on operations with financial instruments. These constraints are applied on certain attributes of domains of financial objects. A methodology and implementation of automatic constraint analysis in two steps is presented. The first step involves preparation of constraints on specified domains and creation of formulas defining them. The other step consists in waiting for real time transactions and responding to them by alerting the user on newly occurred constraint violations. Computation reduction method is proposed. A satisfaction coefficient is calculated that aids the end user in taking consecutive actions on their portfolio.