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.

News & Activities



Project Team

Senior Researchers
Markus Holopainen (until Sep 2017)
Peter Sarlin
Senior Researcher
Patrice Fontaine

Junior Researcher
Panagiotis Anagnostidis 
Senior Researchers

Jean-Pierre Zigrand

Tomaso Aste

Junior Researcher
Khaladdin Rzayev

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