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.

Project Team

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

Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka SimonA Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets Financial Markets
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya YuferovaRecovery from Fast Crashes: Role of Mutual Funds Financial Markets, Systemic Risk Lab, Data Center
Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit SagadeHigh-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making Financial Markets
Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus WistbackaPredicting Stock Price and Spread Movements from News Financial Markets, Systemic Risk Lab, Data Center
Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl ZareeiGlobal Realignment in Financial Market Dynamics: Evidence from ETF Networks Financial Markets
Panagiotis Anagnostidis, Patrice Fontaine, Christos VarsakelisAre High-Frequency Traders Informed? Systemic Risk Lab
Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de RoureOTC Discount Financial Markets, Systemic Risk Lab, Data Center
Loriana Pelizzon, Satchit Sagade, Katia VozianResiliency: Cross-Venue Dynamics with Hawkes Processes Financial Markets
Aleksey Kolokolov, Giulia Livieri, Davide PirinoStatistical Inferences for Price Staleness Financial Markets
Gbenga Ibikunle, Khaladdin RzayevCOVID-19: Venue Selection Effects and Implications for Market Quality Financial Markets, Systemic Risk Lab
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto RenòHigh-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? Financial Markets, Systemic Risk Lab
Panagiotis Anagnostidis, Patrice FontaineLiquidity Commonality and High Frequency Trading: Evidence from the French Stock Market Systemic Risk Lab
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya YuferovaDesignated Market Makers: Competition and Incentives Financial Markets, Systemic Risk Lab
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian WestheideTrader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk Financial Markets