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



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


Latest Project Publication

“Are High-Frequency Traders Informed?” by Panagiotis Anagnostidis, Patrice Fontaine, Christos Varsakelis
Economic Modelling 93 (2020), 365-383


Project Publications

Author/sTitleProgram Area
Panagiotis Anagnostidis, Patrice Fontaine, Christos Varsakelis, Are High-Frequency Traders Informed? Systemic Risk Lab
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya Yuferova, Designated Market Makers: Competition and Incentives 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
Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus Wistbacka, Predicting Stock Price and Spread Movements from News Financial Markets, Systemic Risk Lab, Data Center
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
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
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian Westheide, Trader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk Financial Markets
Gbenga Ibikunle, Khaladdin Rzayev, Volatility, Dark Trading and Market Quality: Evidence from the 2020 COVID-19 Pandemic-Driven Market Volatility Financial Markets, Systemic Risk Lab