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

Forscher/innenTitelPublikationstypPubliziert
Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon SAFE Working Paper Mai 2021
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova
Recovery from Fast Crashes: Role of Mutual Funds
forthcoming in Journal of Financial Markets
Published Paper Mai 2021
Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade Thirdparty Working Paper Apr 2021
Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus Wistbacka
Predicting Stock Price and Spread Movements from News
Proceedings of the 54th Hawaii International Conference on System Sciences, p. 1593
Thirdparty Working Paper Feb 2021
Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl Zareei SAFE Working Paper Feb 2021
Panagiotis Anagnostidis, Patrice Fontaine, Christos Varsakelis Thirdparty Related Work Dez 2020
Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure SAFE Working Paper Dez 2020
Loriana Pelizzon, Satchit Sagade, Katia Vozian SAFE Working Paper Okt 2020
Aleksey Kolokolov, Giulia Livieri, Davide Pirino Published Paper Sep 2020
Gbenga Ibikunle, Khaladdin Rzayev Thirdparty Working Paper Apr 2020
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò SAFE Working Paper Mär 2020
Panagiotis Anagnostidis, Patrice Fontaine
Liquidity Commonality and High Frequency Trading: Evidence from the French Stock Market
forthcoming in International Review of Financial Analysis
Thirdparty Related Work Dez 2019
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova SAFE Working Paper Mär 2019
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide SAFE Working Paper Okt 2018

Data and Replication Files