SAFE wins international research competition on “Digging into Data”

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

Loriana Pelizzon, SAFE Professor for Law and Finance and Program Director of the Systemic Risk Lab, wins an international research competition with a global research project to collect and analyze high frequency financial data.

The “Digging into High Frequency Data” project has been made possible thanks to funding from DFG (Deutsche Forschungsgemeinschaft) and 15 other international research bodies as part of the Trans-Atlantic Platform for the Social Sciences and Humanities.

An interdisciplinary team with researchers from the UK, France, Germany, Finland and the US plans to build a transatlantic securities markets database that can be easily used for research in Europe and the US. The objective is to improve and homogenize existing datasets and build models to improve our understanding on how electronic markets work. This project will help with interpreting the data, understanding global interconnectedness between securities and financial stakeholders, and providing new insights for understanding financial crises and constructing effective financial regulations. As part of this transatlantic initiative, the team also plans to collaborate with other research centers in order to build a network of European and US researchers in finance and computational science who collaborate to analyze and interpret this data for research and policy purposes.

Global equity markets have been fundamentally altered due to the use of high frequency trading and algorithmic trading. The increase in trading speed allows markets to operate far beyond human capabilities. This change has had a dramatic impact on the functioning and the stability of the financial markets which are vital to our economic system. The resulting changes have led to intense debate and scrutiny from investors, market makers, exchanges, and regulators. Understanding and regulating these financial markets require the analysis of massive amounts of data and more specifically, high frequency financial data. There is a huge deficit in the empirical foundations of the economic and financial analytical models used to model stakeholders’ expectations and behaviors, financial innovations and regulations. This deficit is particularly strong at the European level. To improve the basic infrastructure to make data accessible and exploitable and link the US and European datasets is the first objective of the research team. Data will be collected at the nanosecond, if possible, which includes not only prices, volumes and dates of the transactions, but also other variables that academics and regulatory authorities can use, such as information about the state of the limit order book.

Loriana’s team in Frankfurt will be comprised of Satchit Sagade, Ph.D. and Mario Bellia.

Principal Investigators

  • Loriana Pelizzon, Research Center SAFE & Goethe University Frankfurt, Germany
  • Terrence John Hendershott, Haas School of Business, University of California Berkeley, USA
  • Jean-Pierre Zigrand, London School of Economics, UK
  • Patrice Fontaine, Centre National de la Recherche Scientifique, Laboratory EUROFIDAI, Grenoble, France
  • Mila Getmansky Sherman, Isenberg School of Management, UMass Amherst, USA
  • Peter Sarlin, Hanken School of Economics, Helsinki, Finland