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


Project Publications

Author/sTitlePublication type
Farshid Abdi, Mila Getmansky Sherman, Emily Kormanyos, Loriana Pelizzon, Zorka SimonA Modern Take on Market Efficiency: The Impact of Trump’s Tweets on Financial Markets SAFE Working Paper
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya YuferovaRecovery from Fast Crashes: Role of Mutual Funds forthcoming in Journal of Financial Markets Published Paper
Mahendrarajah Nimalendran, Khaladdin Rzayev, Satchit SagadeHigh-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making Thirdparty Working Paper
Samuel Rönnqvist, Satchit Sagade, Katia Vozian, Pontus WistbackaPredicting Stock Price and Spread Movements from News Proceedings of the 54th Hawaii International Conference on System Sciences, p. 1593 Thirdparty Working Paper
Monica Billio, Mila Getmansky Sherman, Andrew Lo, Loriana Pelizzon, Abalfazl ZareeiGlobal Realignment in Financial Market Dynamics: Evidence from ETF Networks SAFE Working Paper
Panagiotis Anagnostidis, Patrice Fontaine, Christos VarsakelisAre High-Frequency Traders Informed? Economic Modelling Thirdparty Related Work
Emanuel Moench, Loriana Pelizzon, Michael Schneider, Calebe de RoureOTC Discount SAFE Working Paper
Loriana Pelizzon, Satchit Sagade, Katia VozianResiliency: Cross-Venue Dynamics with Hawkes Processes SAFE Working Paper
Aleksey Kolokolov, Giulia Livieri, Davide PirinoStatistical Inferences for Price Staleness Journal of Econometrics Published Paper
Gbenga Ibikunle, Khaladdin RzayevCOVID-19: Venue Selection Effects and Implications for Market Quality Thirdparty Working Paper
Mario Bellia, Kim Christensen, Aleksey Kolokolov, Loriana Pelizzon, Roberto RenòHigh-Frequency Trading During Flash Crashes: Walk of Fame or Hall of Shame? SAFE Working Paper
Panagiotis Anagnostidis, Patrice FontaineLiquidity Commonality and High Frequency Trading: Evidence from the French Stock Market forthcoming in International Review of Financial Analysis Thirdparty Related Work
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Jun Uno, Darya YuferovaDesignated Market Makers: Competition and Incentives SAFE Working Paper
Alejandro Bernales, Nicolas Garrido, Satchit Sagade, Marcela Valenzuela, Christian WestheideTrader Competition in Fragmented Markets: Liquidity Supply versus Picking-off Risk SAFE Working Paper

Data and Replication Files