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

News & Activities

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…

Round 4 Digging into Data Challenge Conference

On a conference in Alexandria, Virginia, researchers explored the outcomes of the projects funded in round 4…

Project team of “Digging into High Frequency Data” met second time in Paris

On 16 May, the international research teams discussed recent findings

Project team meeting in Paris

First findings of our research were discussed at the Project Team Meeting held in Paris on 13 January 2018

SAFE wins international research competition on “Digging into Data”

International team of researchers receives funding for project on high frequency financial data

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    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

    Author/sTitleProgram Area
    Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon A 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 Yuferova Recovery from Fast Crashes: Role of Mutual Funds Financial Markets, Systemic Risk Lab, Data Center
    Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit Sagade High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making Financial Markets
    Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus Wistbacka Predicting Stock Price and Spread Movements from News Financial Markets, Systemic Risk Lab, Data Center
    Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl Zareei Global Realignment in Financial Market Dynamics: Evidence from ETF Networks Financial Markets
    Panagiotis Anagnostidis, Patrice Fontaine, Christos Varsakelis Are High-Frequency Traders Informed? Systemic Risk Lab
    Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de Roure OTC Discount Financial Markets, Systemic Risk Lab, Data Center
    Loriana Pelizzon, Satchit Sagade, Katia Vozian Resiliency: Cross-Venue Dynamics with Hawkes Processes Financial Markets
    Aleksey Kolokolov, Giulia Livieri, Davide Pirino Statistical Inferences for Price Staleness Financial Markets
    Gbenga Ibikunle, Khaladdin Rzayev COVID-19: Venue Selection Effects and Implications for Market Quality Financial Markets, Systemic Risk Lab
    Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? Financial Markets, Systemic Risk Lab
    Panagiotis Anagnostidis, Patrice Fontaine Liquidity Commonality and High Frequency Trading: Evidence from the French Stock Market Systemic Risk Lab
    Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova Designated Market Makers: Competition and Incentives Financial Markets, Systemic Risk Lab
    Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk Financial Markets