Apache and Dataflow Help with Real-time Indices Processing for Financial Institutions - Build What's Next
Case Study

Apache and Dataflow Help with Real-time Indices Processing for Financial Institutions

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Financial institutions need real-time indices for real-time portfolio valuations and benchmarking for other investments companies. With Apache Beam and Dataflow, CME Group and Google Cloud partner to build a real-time index publication pipeline.

Financial institutions across the globe rely on real-time indices to inform real-time portfolio valuations, to provide benchmarks for other investments, and as a basis for passive investment instruments including exchange-traded products (ETPs). This reliance is growing—the index industry dramatically expanded in 2020, reaching revenues of $4.08 billion.

Today, indices are calculated and distributed by index providers with proximity and access to underlying asset data, and with differentiating real-time data processing capabilities. These providers offer subscriptions to real-time feeds of index prices and publish the constituentscalculation methodology, and update frequency for each index.

But as new assets, markets, and data sources have proliferated, financial institutions have developed new requirements. Financial institutions will need to quickly create bespoke and frequently updating indices that represent a specific actual or theoretical portfolio, with its unique constituents and weightings.

In other words, existing index providers and other financial institutions alike will need mechanisms for rapid creation of real-time indices. This blog post’s focus—an index publication pipeline collaboratively developed by CME Group and Google Cloud—is an example of such a mechanism. 

The pipeline closely approximates a particular CME Group index benchmark, but with far greater frequency (in near real time vs. daily) than its official counterpart. It does so by leveraging open-source models such as Apache Beam and cloud-based technologies such as Dataflow, which automatically scales pipelines based on inbound data volume.

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Machine learning’s production problem

In the past decade, advances in AI toolchains have enabled faster ML model training—and yet a majority of ML models are still not making it into production. As organizations endeavor to develop their ML capabilities, they soon realize that a real-world ML system is comprised of a small amount of ML code embedded in a network of complex and large ancillary components. Each component brings its own development and operational challenges, which are met by bringing a DevOps methodology to the ML system, commonly referred to as MLOps (Machine Learning Operations). To apply ML to business problems, a firm must develop continuous delivery and automation pipelines for ML.

This index publication collaboration is instructive because it demonstrates MLOps best practices for just such a pipeline. One Apache Beam pipeline, suited for operating on both batch and streaming data, extracts insights and packages them for downstream consumers. These consumers may include ML pipelines that, thanks to Apache Beam, require only one code path for inference across batch and real-time data sources. The pipeline is run inside Google Cloud’s Dataflow execution engine, greatly simplifying management of underlying compute resources. 

But the collaboration’s value is not constrained to the ML and data science realm. The project shows that consumers of the Apache Beam pipeline’s insights may also include traditional business intelligence dashboards and reporting tools. It also demonstrates the simplicity and economy of cloud-based time series data such as CME Smart Stream, which is metered by the hour, quickly and automatically provisioned, and consumable at a per-product-code (not per-feed) level.

A focus on real-time processing for financial services

To illustrate the above points, the collaboration applies data engineering and MLOps best practices to a financial services problem. We chose the financial services domain because many financial institutions do not yet have real-time market data processing or MLOps capabilities today, owing to a significant gap on either side of their ML/AI objectives.

Upstream from ML/AI models, financial institutions often experience a data engineering gap. For many financial institutions, batch processes have sufficiently addressed business requirements. As a result, the temporal nature of the time series data underlying these processes is deemphasized. For example, the original purpose of most trade booking systems was to capture a trade and ensure that it found its way to the middle and back office for settlement. It was not built with ML/AI in mind, and its underlying data therefore has not been packaged for consumption by ML/AI processes. 

And downstream from ML/AI models, financial institutions often encounter the aforementioned “ML production problem.”

As ML/AI becomes ever more strategic, these two gaps have left many financial institutions in a conundrum—unable to train ML models for lack of properly packaged time series data, and unmotivated to package time series data for lack of ML models. By recreating a key energy market index using open-source libraries and cloud-based tools, this collaboration demonstrates that for the financial services domain a solution to this conundrum is more accessible today than ever. 

Creating a new index

We modeled our new index after one of CME Group’s many index benchmarks. The particular index expresses the value of a basket of three New York Mercantile Exchange—listed energy futures as a single price. Today, CME Group publishes the index at the end of the day by calculating the settlement price of each underlying futures contract, and then weighing and summing these values. 

While CME Group does not currently publish this index in real time, this collaboration aims to create a near real-time solution leveraging Google Cloud capabilities and CME Group market data delivered via CME Smart Stream. However, in order to publish the value so frequently—every five seconds, with 40-second publish latency—this collaboration’s pipeline has to solve a number of challenges in near-real time.

First, the pipeline must process sparse data from three separate trades feeds in memory to create open-high-low-close (OHLC) bars. More specifically, for five-second windows for each of the three front-month (and sometimes second-month) energy contracts, a bar must be produced. This is solved by using the Apache Beam library to implement functions which, when executed on Dataflow, automatically scale out as input load increases. The bars must be time-aligned across the underlying feeds, which is greatly simplified by Beam’s watermark feature. And for intervals in which no tick data is observed, the Beam library is used to pull forward the last value received, yielding perfect gap-free bars for downstream processors.

Second, the pipeline must calculate volume-weighted average price (VWAP) in near real-time for each front-month contract. The VWAP calculations are also written using the Beam API and executed on Dataflow. Each of these functions requires visibility of each element in the time window, so the functions cannot be arbitrarily scaled out. Nonetheless, this is tractable because their input—OHLC bars—is manageably small.

Third, the pipeline must replicate CME Group’s specific settlement price methodology for each contract. The rules specify whether to use VWAP or another source as price, depending on certain conditions. They also specify how to weigh combinations of monthly contracts during a roll period. The pipeline again encapsulates these requirements as an Apache Beam class, and joins the separate price streams at the correct time boundary.

The end result is a new stream publishing bespoke index data to a Google Cloud Pub/Sub topic thousands of times daily, enabling AI models as well as traditional industry index usage, dashboards, and other tools to assist real-time decision making. The stream’s pipeline uses open source libraries that solve common time series problems out-of-the box, and cloud-based services to reduce the user’s operational and scaling burden.

Beam CME Indexation Biz.jpg
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The importance of cloud-based data

The promise of cloud-based pipeline execution services cannot be realized using legacy data access patterns, which often require market data users to colocate and configure servers and network gear. Such patterns inject expense and scaling complexity into the pipeline’s overall operation, diverting resources from the adoption of MLOps best practices. Instead, a newer, cloud-based access pattern—in which resources subscribe to data streams inexpensively, rapidly and programatically—is necessary.

In 2018, CME Group identified the customer need for accessible futures and options market data. CME Group collaborated with Google Cloud to launch CME Smart Stream, which distributes CME Group’s real-time market data across Google Cloud’s global infrastructure with sub-second latency. Any customer with a CME Group data usage license and a Google Cloud project can consume this data for an hourly usage fee, without purchasing and configuring servers and network gear.

CME Smart Stream met this index pipeline’s requirements for cost-effective, cloud-based streaming data, but this is just one use case. Since the launch of a CME Smart Stream offering on Google Cloud, globally dispersed firms have adopted the solution. For example, Coin Metrics has been using the offering to better inform its customers in the crypto markets. According to CME Group, Smart Stream has become popular with new customers as the fastest, simplest way to access CME Group’s market data from anywhere in the world. 

Adapt the design pattern to your needs

By combining cloud-based data, open-source libraries, and cloud-based pipeline execution services, we created a real-time index using the same constituents as its end-of-day counterpart. Additionally, financial institutions will find this approach addresses many other challenges—real-time valuation of a large set of portfolios; benchmark creation for new ETPs; or external publication of new indices.

Give it a try

This approach is available to help you meet your organization’s needs. Please review our user guide, whose Tutorials section provides a step-by-step guide to constructing a simple Apache Beam pipeline to generate metrics on streaming data in real-time, and connecting a new data source to the pipeline. We’ll be discussing this topic in CME Group’s webinar End-to-End Market Data Solutions in the Cloud at 10:30 am ET on June 16th.

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Three Data Insights That Set Marketing Leaders Apart from Marketing Laggards

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Google partnered with MIT Sloan Management Review and MIT Technology Review for a deep dive into the mindsets of marketing leaders who use machine learning and AI to get better results from their marketing activities, compared to marketing executives who don't.

With insights directing the bulk of today’s marketing decisions, leading marketers are driving growth by embracing three core mindset shifts. Marketing leaders are working toward a holistic view of consumers; they are investing in machine learning to support their activities; and they believe how they apply their data is crucial to success. Google partnered with MIT Sloan Management Review and MIT Technology Review for a deeper dive into the mindsets around these beliefs. Here’s what we found.

1. Leading marketers are working toward a holistic view of consumers.

  • 63% of leading marketers agree they are using KPIs to develop a single integrated view of the customer.
  • 66% of leading marketers agree they should build teams for end-to-end customer experiences and journeys, across channels and devices.
  • Marketing leaders are 60% more likely than laggards to believe that marketing teams should own a data-driven customer strategy that supports all organizational stakeholders.

2.  Leading marketers are investing in machine learning to support their activities.

  • Measurement-leaders are more than 2X as likely as their measurement-challenged counterparts to agree that their organization is already investing in automation and machine learning technologies to drive marketing activities.
  • 75% of marketers who use machine learning to drive marketing activities said they were satisfied with how their KPIs inform and influence decision-making across their enterprise.
  • 73% of marketing leaders who have invested in machine learning have shifted more than 10% of their time from manual activation to strategic insight generation.

3. Leading marketers believe how they apply their data is crucial to success.

  • 66% of marketing leaders believe how companies apply their data will play a key role in their ability to thrive.
  • 60% of leading marketers believe data-driven attribution is essential to understanding journeys of high-value customers.
  • Marketing leaders are 53% more likely than laggards to say machine learning processes data signals to help marketers better understand consumer intent.
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Cart.com to Transform e-Commerce for Brands Globally

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Cart.com supported by the Startup Program by Google Cloud and Google Cloud solutions is set out to democratize e-commerce by empowering brands of all sizes with its unified platform to unlock customer data and business value. Read now!

The ecommerce playing field has been hard to navigate for most retailers, and Cart.com is on a mission to change that. Traditionally, retailers needing to run their online store, order fulfillment, customer service, marketing, and other essential activities have had to cobble together systems to get the capabilities they need – much less having access to analytics across these functions. The result is costly, siloed ecommerce operations that are difficult to manage and scale.

It’s clearly not a formula for success, yet that’s the reality facing most retailers. Cart.com, in contrast, has set out to democratize ecommerce by giving brands of all sizes the full capabilities they need to take on the world’s largest online retailers. Our end-to-end environment empowers retailers to keep more of their revenue, set up proven strategies for managing all aspects of their business, and act on valuable insights from customer data every step of the way.

Together with our talented team, we’re building a unified ecommerce platform that already provides value to many leading or up and coming brands including Whataburger, GUESS, Dr. Scholl’s, Rowing Blazers, and Howler Bros. 

We’re excited about the opportunity ahead as we reimagine traditional approaches to online sales, fulfillment, marketing, accessing growth capital, providing a unified view of all ecommerce and marketing analytics, and other activities. Expectations for Cart.com are high, and we are building a company that can scale to $100B in revenue and beyond. Supported by the Startup Program by Google Cloud and Google Cloud solutions, we’re establishing a technology platform to transform all aspects of ecommerce for brands worldwide. 

Partner in disruption

At Cart.com, we’re currently targeting an underserved market. Our ideal customer is beyond demonstrating product-market-fit and is now at an inflection point seeking a growth opportunity. Typically, those companies are generating between $1M and $100M in annual revenue. We’ve seen an enthusiastic response from brands and retailers as well as investors, with backing from investors in just over a year totaling $143 million in three funding rounds.

Our strategy is to build an integrated ecommerce model that combines best-of-breed solutions, many of which we gain through acquisitions and then build upon to provide a streamlined and fully integrated experience for our brands. We’ve made seven acquisitions so far to round out our online store, order fulfillment, marketing services, customer service, and we have launched some integral partnerships including easy access to growth capital through our relationship with Clearco and product protection for customers on every purchase with Extend. Instead of acquiring a data company, we’re building our data platform on Google Cloud, across each operating function for a single-view for brands to harness actionable data. We see Google Cloud as the leader for data management, analytics, machine learning (ML) and artificial intelligence (AI).

Other reasons why we’re building our business on Google Cloud include scalability, excellence, security, reach, and data analytics that are far superior to other environments.

We also feel a cultural and mission alignment with Google Cloud and envision leaning into a long-term partnership of marketing, selling, and disrupting the disruptors together. Equally important to us are the investments Google Cloud is willing to make in early-stage companies like ours. The support through the Google Cloud for Startups program has been outstanding.

Built on Google Cloud

A wide range of Google Cloud solutions provide the foundation for our platform. For instance, Cloud Pub/Sub keeps our services communicating with one another. We rely on fully managed relational databases, like Cloud SQL and Cloud Spanner, to securely handle the huge volume of brand and shopper data generated every day.

Cloud Run allowed us to develop inside of containers before our Kubernetes infrastructure was ready to go. Now, we are taking advantage of all the capabilities in Google Kubernetes Engine. BigQuery integrates with all Google Cloud solutions and offers true data streaming natively out of the box, along with Dataflow for advanced analytics. We also use Container Registry to store and manage our Docker container images. Right now, we’re testing Cloud Composer to evaluate using it for data workflow orchestration instead of Apache Airflow.

The openness of the Google Cloud environment is further enabled by Anthos, which we may deploy soon to perform data integrations quickly as we acquire more companies over the next year. For example, if we acquire a company using Azure, we can easily align it with our Google Cloud ecosystem.

Enabling ecommerce 2.0

Recently, our team has been experimenting with Google Cloud Vertex AI and the fully managed services of AI deployment and ML operations. The capabilities would save us substantial time in the management of the ML lifecycle which allows us to focus more on developing proprietary AI that will transform commerce at scale.

Because Google Cloud is so far ahead in data science, our teams benefit from deep Google Cloud expertise as we look to provide brands with unmatched insights into customers to improve services and revenue. We’re also planning to test Recommendations AI among other tools to deploy customer product recommendations and personalization as turnkey productized offerings. Moving forward, we will likely use Bigtable to aid in serving machine learning to hundreds of thousands of brands due to its low latency and scalability.

Fanatical about brand success

We know that our work with Google Cloud for Startups and use of Google Cloud solutions for best-in-class data management, analytics, ML, and AI will enable us to offer even more transformative services to brands.

We also see the opportunity to use our platform and customer insights to break down barriers between brands, enabling retailers to share information and work better together when it’s in their best interests. What we’re building today on Google Cloud is fundamentally changing what’s possible for retailers of any size everywhere. 

As a startup, when recruiting talent or working with prospective customers, it helps to share our success with Google Cloud. We view them as an extension of the Cart.com team. It also validates our business as we continue building a more integrated, holistic approach to commerce that opens new opportunities and drives growth for brands worldwide.

For more details about Cart.com’s vision for unified ecommerce, check out our video.

If you want to learn more about how Google Cloud can help your startup, visit our page here to get more information about our program, and sign up for our communications to get a look at our community activities, digital events, special offers, and more.

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Volkswagen + Google Cloud: Using Machine Learning to Drive Smarter with Energy Efficient Cars

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Volkswagen and Google Cloud are partnering to use machine learning to design more energy-efficient cars. The collaboration aims to reduce the environmental impact of transportation. Learn more about this project!

Volkswagen strives to design beautiful, performant, and energy efficient vehicles. This entails an iterative process where designers go through many design drafts, evaluating each, integrating the feedback, and refining.

For example, a vehicle’s drag coefficient—its resistance to air—is one of the most important factors of energy efficiency. Thus, getting estimates of the drag coefficient for several designs helps the designers experiment and converge toward more energy-efficient solutions. The cheaper and faster this feedback loop is, the more it enables the designers.

Unfortunately, estimating drag coefficient is an expensive and time-consuming operation that involves either a physical wind tunnel or a computationally intensive simulation. This can be a bottleneck in the feedback cycle.

For this reason, Volkswagen and Google Cloud decided to collaborate on a joint research project to investigate using machine learning (ML) to get fast and inexpensive estimates of the drag coefficient. In this post, we’ll explore the challenges and approaches undertaken in this project.

The core principles of the project were simple. First, we needed to collect a dataset of existing car designs and their respective drag coefficients. Then, we needed to create a representation of the various cars that would be suitable for ML. The next step was to train a deep learning model to predict the drag coefficient, and then, finally, we would use that model to efficiently estimate drag for any new design.

Representing three-dimensional car designs

Design software recreates a physical object as a three-dimensional triangle mesh made up of three types of objects—faces, edges, and vertices. Figure 1, below, shows such a mesh for an Audi S6. Faces are flat surfaces, such as the window in a car door. An edge is where two faces meet (e.g., the side of the door), and a vertex is where two or more edges meet, such as the corner of the door.

Figure 1: Mesh representation of an Audi S6 (from ShapeNet) highlighting vertices, edges and faces.

Car bodies, however, come in all shapes and sizes. A Volkswagen Golf economy model is very different from a Tiguan SUV, and a single vehicle can have both large smooth surfaces as well as areas with delicately designed features. Consequently, there can be a huge variety from one polygonal mesh to the next.

ML models need consistent representation in order to form robust generalized rules. With such a dramatic variance between each polygonal mesh, the models would be compromised and the results could have huge margins of error.

We needed to find a way to create simple meshes that capture the shape of the car but are still suited for ML models.

Representing a car with digital shrink wrapping

Rather than building a representation of each car from the ground up, we applied a “shrink wrapping” method for the 3D meshes. The principle is very similar to vacuum-sealing a cucumber. The cucumber is placed in a plastic bag and the air is then gradually removed until the bag fits tightly around it, capturing its shape.

Our approach works similarly: we start with a base mesh, a simple shape that corresponds to the plastic bag, and we deform it until it captures the shape of the target mesh. For our purposes, the base mesh is a simplified representation of a car and the target mesh is the particular car we are designing for at that moment. Such meshes can be defined, managed, and presented to ML models for training using the Tensorflow Graphics and trimesh libraries.

Our “shrink wrapping” method mainly works by iteratively minimizing a measure of distance (e.g., chamfer distance) between the two meshes. Additionally we can regularize our mesh to preserve certain qualities, like smoothness, in the resulting mesh. This iterative optimization is analogous to the vacuum pump, gradually shrinking and fitting the vertices of the mesh as closely as possible to the complex shape of the car. With shrink-wrapping, we are able to produce cleaner meshes that are more suitable to our estimation task. An example of such a procedure is shown in Figure 2.

Figure 2: Shrink-wrapping a base mesh to the target mesh of an Audi S6.

How to train a model

Shrink-wrapping the 3D car designs was an important first step, but the work was far from over. Our next challenge was to build and test the machine learning algorithms.

We wanted our algorithms to estimate the drag coefficient as accurately and quickly as possible each time it looked at a new design. To do so, we had to train the ML models on existing data.

From publicly available datasets, we calculated the drag coefficients for 800 different car meshes, which we trained the models on. Then, we evaluated the trained models on a further 100 meshes, seeing how accurate their estimates were on new data.

As we worked through this training, we refined our approach. Initially, we tested models based on convolutional neural networks – similar to PointNet – that observed only the vertices, i.e., the fixed points in each mesh. But when we tested mesh-convolutional models – similar to FeastNet – we found a slightly different focus improved the accuracy of the estimates. Rather than focusing on vertices alone, these models looked at a mesh of vertices and how they relate to each other. These models placed each vertex in a richer context, leading to more accurate estimates when air-flow hit particularly subtle design features.

Working in parallel and at scale
To collaborate across time zones and two organizations, we’ve used the Google Cloud Vertex AI platform.

Vertex AI Workbench serves as a central hub to interact with other services and infrastructure on the Vertex AI platform. It enables quick experiments and preparation of training packages for resource-intensive ML model training jobs, all in a Python notebook environment for immediate execution of code. The notebook environments allow code-based interaction with other services on Google Cloud and ML tools such as Vertex AI Training and Vertex AI Pipelines.

The process of training a new model is a seamless one. First, a dataset is prepared and stored in Google Cloud Storage, usually with the help of Tensorflow Datasets. Then, for every ML model we want to test, we package and store the training code as a container image with Google Cloud Build and Container Registry. This ensures that every job is fully documented, including the provided parameters, training code package, logs from the training task, and resulting artifacts such as metrics and model files.

From there, we submit the model to the Vertex AI Training service, which provides easy access to large scale infrastructure and hardware accelerators, such as GPUs and TPUs, by simply defining resource needs when submitting a job. By using Vertex AI Training’s hyperparameter tuning feature, we can run experiments in parallel with multiple neural networks to find the right one for our purposes.

With Vertex AI Tensorboard, we can capture metrics and visualize the results of our experiments. These are readily available to anyone in the team, wherever they are in the world, for a wider discussion.

The first milestone

This joint research effort between Volkswagen and Google has produced promising results with the help of the Vertex AI platform. In this first milestone, the team was able to successfully bring recent AI research results a step closer to practical application for car design. This first iteration of the algorithm can produce a drag coefficient estimate with an average error of just 4%, within a second.

An average error of 4%, while not quite as accurate as a physical wind tunnel test, can be used to narrow a large selection of design candidates to a small shortlist. And given how quickly the estimates appear, we have made a substantial improvement on the existing methods that take days or weeks. With the algorithm that we have developed, designers can run more efficiency tests, submit more candidates, and iterate towards richer, more effective designs in just a small fraction of the time previously required.

Going forward, faster and more accurate estimates could even enable more automated searching for efficient designs, which would help both engineers and designers to hone in on the areas of the vehicle body where they could have the most impact. An important next step will be integrating the results into 3D design software to let designers benefit from the output and provide feedback.

As we continue, our focus is on improving the accuracy of the models. Firstly, we will build a larger, better quality dataset. Secondly, we will improve our shrink-wrapping algorithm to capture more details. Finally, we will enhance our existing models by experimenting with Vertex AI Neural Architecture Search to explore and experiment with different neural architecture options.

Moreover, we believe that our results for drag coefficient estimation is only a starting point for further exploration. There could potentially be numerous use cases in the space of physical simulations and assessments where cost and time savings could be achieved through ML-based estimators.


Acknowledgements

This work wouldn’t have been possible without the contributions from Volkswagen Data:Lab, Google Research, and Google Cloud. Thanks to Ahmed Ayyad, Dr. Andrii Kleshchonok, Dr. Daniel Weimer, Gülce Cesur, Henrik Bohlke, Andreas Müller from Volkswagen, Ameesh Makadia, Ph.D., and Carlos Esteves, Ph.D., from Google Research, and Daniel Holgate, Holger Speh, and Dr. Michael Menzel from Google Cloud.

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Explainer

Hospitals Can Offer Interconnected Patient Experiences Using Google’s Natural Language Services

Machine Learning (ML) in healthcare helps extract data from conversations, medical records, forms, research reports, insurance claims and other documents across the care value-chain to help care providers have a holistic view of their patients to draw insights for diagnoses and treatments. With Natural Language Processing(NLP), healthcare organizations can program computers and systems to process and analyse large volumes of human communication in form of spoken texts, written documentation and utterances. Watch the video to learn how the healthcare community can leverage Google’s NLP services to process structured and unstructured data to offer interconnected experiences for patients.

Case Study

AirAsia Turns to Google Cloud to refine Pricing, Increase Revenue, and Improve Customer Experience

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AirAsia needed a platform incorporating products that could capture, process, analyze, and report on data, while delivering value for money and meeting its speed and availability requirements. The airline also wanted to minimise infrastructure management and system administration demands on its technology team members.

The airline conducted a proof of concept and found Google Cloud Platform—including the Google BigQuery analytics data warehouse—was the best fit.

AirAsia was impressed by the ease and flexibility with which it could extract, transform, and load customer data from its systems, websites, and mobile applications into Google BigQuery for analysis. Reporting and dashboards were quickly and effectively delivered through Google Data Studio.

“With a minimal number of people involved, we can very quickly transform an idea or thought process into a deliverable. Prior to Google Cloud Platform, bringing those ideas to fruition would have been impossible,” says Nikunj Shanti, Chief Data and Digital Officer, AirAsia.

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