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 project

The third team meeting of “Digging into High Frequency Data: Present and Future Risks and Opportunities” was held via Zoom on 14 May from 3 - 7pm. 

The interdisciplinary teams of researchers used this opportunity to discuss the current status of the project by presenting their recent work. At the end of the meeting, the team members decided on further work steps to reach the goal of the project: building a transatlantic securities markets database that can be easily used for research in Europe and the US.

The project is funded by Deutsche Forschungsgemeinschaft (DFG) and 15 other international research bodies as part of the Trans-Atlantic Platform for the Social Sciences and Humanities.

 

Agenda
Time Subject

15:30 - 15:45

Sum up of the project objectives and WPs
(Loriana Pelizzon, SAFE) 

15:45 - 16:45

Pontus Wistbacka and Samuel Rönnqvist (Hanken School of Economics)
"Investigation into machine learning models for predicting stock price and spread movements from news articles”

Khaladdin Rzayev Khaladdin Rzayev (LSE Systemic Risk Centre)
"The impact of the Covid-19 shock on dark trading"

16:45 - 17:00

Virtual tea/coffee break 

17:00 - 18:00

Matt Linn and Nikunj Kapadia (UMASS)
"What’s Gone Wrong with Options Markets?  Evidence from Knight Capital’s Trading Glitch"


Farshid Abdi and Fousseni Chabi-Yo (UMASS)

"Realized Semicoskewness"

18:00 - 18:30

Further steps of the projects, final remarks