Digging into High-Frequency Data: Present and Future Risks and Opportunities (Atlantis)

Global equity markets have changed fundamentally due to the vast improvements in the speed of trading and the fragmentation of markets. The emergence of high-frequency trading (HFT) has had a dramatic impact on the functioning and stability of financial markets. To properly investigate the impact of HFT, it is crucial to have appropriate data. The project aims to set up a transatlatinc database with HFT data and create the infrastructure to link datasets across the Atlantic. We plan to structure, verify, and homogenize the data in order to make them exploitable for research and policy. At present, no such database exists. A second objective is to put research at the forefront of the database construction. This data is vital for evaluating  the impact of financial regulations and understanding market fluctuations and their interactions with the finanical system. New theoretical models will be built that are more adapted to the reality of the current financial system. A third goal is to create a network of European and American researchers in finance and computational science to use advanced computational tools to analyze and interpret the data.

News & Activities

Project Team

Senior Researchers
Peter Sarlin

Markus Holopainen


Junior Researchers
Katia Vozian
Senior Researcher
Patrice Fontaine

Junior Researcher
Panagiotis Anagnostidis 

Research Projects

Digging into High-Frequency Data:


Data Infrastructure and Stock Exchange Trading Rules


Micro Perspective: Market Financial Architecture and Functioning


Macro Perspective: Systemic Risk

Project Publications

Nr. Autor(en) Titel Forschungs­bereich Jahr Keywords
227 Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova Stock Price Crashes: Role of Slow-Moving Capital Systemic Risk Lab, Data Center, Financial Markets 2018 Liquidity Provision; Market Fragility; Flash Crash; Slow-Moving Capital
236 Aleksey Kolokolov, Giulia Livier, Davide Pirino Statistical Inferences for Price Staleness Financial Markets 2018 staleness, idle time, liquidity, zero returns, stable convergence
247 Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova Paying for Market Liquidity: Competition and Incentives Financial Markets, Systemic Risk Lab 2019 High-Frequency Trading (HFT), Designated Market Makers (DMMs) Market Making, Adverse Selection, Liquidity Provision
0 Patrice Fontaine, Christos Varsakelis Price Informativeness and High Frequency Trading in Electronic Call Auction Markets Systemic Risk Lab 2018
0 Patrice Fontaine Liquidity Provision, Commonality and High Frequency Trading Systemic Risk Lab 2018