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/sTitlePublication typePublished
    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 May 2022
    Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka Simon
    Market Impact of Government Communication: The Case of Presidential Tweets
    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
    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
    Global Realignment in Financial Market Dynamics
    SAFE Working Paper Feb 2021
    Panagiotis Anagnostidis, Patrice Fontaine, Christos Varsakelis
    Are High-Frequency Traders Informed?
    Economic Modelling
    Thirdparty Related Work 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
    Thirdparty Related Work May 2020
    Gbenga Ibikunle, Khaladdin Rzayev
    COVID-19: Venue Selection Effects and Implications for Market Quality
    Thirdparty Working Paper Apr 2020
    Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto Renò
    High-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame?
    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

    Data and Replication Files