First virtual meeting of project team “Digging into High Frequency Data”
The international research team met virtually to discuss their recent findings and further steps for the…
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.
Senior Researchers |
Junior Researcher |
Mario Bellia |
Aleksey Kolokolov (until 08/2018) |
Andrea Modena |
Michael Schneider |
Satchit Sagade |
Senior Researchers |
Markus Holopainen (until Sep 2017) |
Peter Sarlin |
Junior Researchers |
Katia Vozian |
Samuel Rönnqvist |
Pontus Wistbacka |
Senior Researcher |
Patrice Fontaine |
Junior Researcher |
Panagiotis Anagnostidis |
Senior Researchers |
Junior Researcher |
Khaladdin Rzayev |
Senior Researcher |
Senior Researchers |
Data Infrastructure and Stock Exchange Trading Rules
Micro Perspective: Market Financial Architecture and Functioning
Macro Perspective: Systemic Risk
Author/s | Title | Publication type | Published |
---|---|---|---|
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova |
Market Liquidity and Competition Among Designated Market Makers
forthcoming in Management Science | Published Paper | Jan 2024 |
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide |
Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk
Journal of Financial and Quantitative Analysis | Published Paper | Jan 2024 |
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova |
Recovery from Fast Crashes: Role of Mutual Funds
Journal of Financial Markets | Published Paper | Jun 2022 |
Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon |
The President Reacts to News Channel of Government Communication
| SAFE Working Paper | May 2021 |
Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade |
High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making
| Other Publications | 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 | Other Publications | Feb 2021 |
Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl Zareei |
Global Realignment in Financial Market Dynamics
| SAFE Working Paper | Feb 2021 |
Panagiotis Anagnostidis, Patrice Fontaine, Christos Varsakelis |
Are High-Frequency Traders Informed?
Economic Modelling | Other Publications | Dec 2020 |
Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure |
OTC Discount
| SAFE Working Paper | Dec 2020 |
Loriana Pelizzon, Satchit Sagade, Katia Vozian |
Resiliency: Cross-Venue Dynamics with Hawkes Processes
| SAFE Working Paper | Oct 2020 |
Aleksey Kolokolov, Giulia Livieri, Davide Pirino |
Statistical Inferences for Price Staleness
Journal of Econometrics | Published Paper | Sep 2020 |
Panagiotis Anagnostidis, Patrice Fontaine |
Liquidity Commonality and High Frequency Trading: Evidence from the French Stock Market
International Review of Financial Analysis | Other Publications | May 2020 |
Gbenga Ibikunle, Khaladdin Rzayev |
COVID-19: Venue Selection Effects and Implications for Market Quality
| Other Publications | Apr 2020 |
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò |
Do Designated Market Makers Provide Liquidity During Extreme Price Movements?
| SAFE Working Paper | Mar 2020 |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova |
Market Liquidity and Competition Among Designated Market Makers
| SAFE Working Paper | Mar 2019 |
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide |
Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk
| SAFE Working Paper | Oct 2018 |
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova |
Recovery from Fast Crashes: Role of Mutual Funds
| SAFE Working Paper | Jul 2018 |