cypher - Modelling time-varying financial exposures in `Neo4j` -


how 1 model kind of data in neo4j?:

> holdings    portfolio                         holding    instrument       date balance.usd 1        abc           stock 1 share class       stock 1 2013-12-31    25360291 2        abc           stock 1 share class       stock 1 2014-01-31    25302011 3        abc           stock 1 share class b       stock 1 2013-12-31    12264011 4        abc           stock 1 share class b       stock 1 2014-01-31    12893201 5        def fund 1 share class eur series 1        fund 1 2013-12-31    21012222 6        def fund 1 share class eur series 1        fund 1 2014-01-31    21632101 7        def fund 1 share class eur series 2        fund 1 2013-12-31     8214325 8        def fund 1 share class eur series 2        fund 1 2014-01-31     8292630 9        def           portfolio abc account portfolio abc 2013-12-31   155364592 10       def           portfolio abc account portfolio abc 2014-01-31   156202162  > factors   instrument                                         factor exposurestrength 1    stock 1                              north america:             1.00 2    stock 1                                    industrials             1.00 3     fund 1                                 liquidity: low             0.05 4     fund 1                                  north america             0.70 5     fund 1                      europe: eurozone: germany             0.20 6     fund 1 industrials : capital goods: building products             0.25

to give little narrative, portfolio invests changing set of instruments (stocks, bonds, other portfolios ...) time-varying value. instruments in turn sensitive factors, can hierarchical, such sectors (e.g. gics classification), regions/countries, size etc. although not reflected in factors table above, exposurestrength can vary time too.

portfolio exposure each factor calculated balance * exposurestrength. aim later aggregate or slice&dice exposures different factor sets.

i not yet user of neo4j considering learning cypher query language, apologies not posting reproducible example yet. curious how complex cypher snippets kind of problem.

you model time variance creating 1 holdingbalance node connected portfolio , instrument date reference, have :next relationships , @ same time anchored in time-tree quick access of sub-sequences.

something this:

                (portfolio)-->(holding)<--(instrument)                                   |                                   v (holdingbalance)<-[:next]-(holdingbalance)-->(day)-->(month)-->(year)

same goes factors

                     (factor)-->(exposure)<--(instrument)                                     |                                     v (exposurestrength)<-[:next]-(exposurestrength)-->(day)-->(month)-->(year)

i started model graph-gist here, it's not done yet:

http://gist.neo4j.org/?cace2732effa846d9fc2


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