LSE financial economist Dr Jean-Pierre Zigrand has been appointed UK principal investigator of a world-first global project to analyse high frequency financial data.

Dr Zigrand, co-director of the Systemic Risk Centre at the London School of Economics and Political Science (LSE), will work with colleagues in the UK, France, Germany, Finland and the US to improve the security of financial markets which have been radically altered over the past decade due to vastly improved trading speeds.

The “Digging into High Frequency Data” project has been made possible thanks to funding from the ESRC, the AHRC and 14 other international research bodies as part of the Trans-Atlantic Platform for the Social Sciences and Humanities.

Dr Zigrand’s team will create a transatlantic securities market database, allowing researchers to better analyse high frequency data generated by automated trading.

“These automated order book submissions and transactions now represent the majority of trading and although we have no formal proof of this yet, they are suspected of occasionally resulting in excessive price fluctuations,” Dr Zigrand said.

He said the recent financial market gyrations highlighted the weakness of financial data analytical models, particularly at the European level.

“Well-functioning financial markets are vital for the growth of economies and the security of entire countries. Shifts in globalisation, changes in geopolitics, competition and fragmentation, evolving regulation and demographic shifts all create challenges for the markets,” he added.

However, new technologies are causing the most rapid changes and one of the key aims of the project is to train young economists to analyse high frequency data, a skill that usually belongs to computer scientists with no financial background.

“The digitalisation of society and the large use of high frequency trading and algorithmic trading have completely changed our financial markets, which are a vital core of our economic system.

“The increase in trading speed now allows markets to operate far beyond human capabilities, having a dramatic impact on the stability, liquidity and resilience of financial markets,” Dr Zigrand said.

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.

His team will be comprised of the following researchers: Dr Patrice Fontaine (EUROFIDAI, France); Prof Terrence Hendershott (UC Berkeley, USA), Prof Loriana Pelizzon (Goethe University, Germany); Dr Peter Sarlin (Hanken School of Economics, Finland); Prof Mila Getmansky Sherman (University of Massachusetts Amherst, USA) and Prof Tomaso Aste (UCL, UK).

The project will start on 1 August 2017 and last for three years.

Notes to editors

For more information, contact Dr Jean-Pierre Zigrand at or Candy Gibson, LSE Press Office at

Dr Jean-Pierre Zigrand is one of two Directors of the Systemic Risk Centre at LSE. He holds a PhD in economics from the University of Chicago and is currently Associate Professor of Finance at the London School of Economics and Political Science.

Since its inception in 2009, the Digging into Data Challenge programme has helped to spark exciting new research avenues for the humanities and social sciences using computational techniques.

The high frequency data project is one of 14 new collaborative and interdisciplinary research projects demonstrating how cutting-edge big data techniques can be used. For more details on these projects go to

The Economic and Social Research Council (ESRC) is the UK's largest organisation for funding research on economic and social issues. It supports independent high quality research which has an impact on business, the public sector and the third sector. The ESRC's total budget for 2012/13 is £205 million. At any one time the ESRC supports over 4,000 researchers and postgraduate students in academic institutions and independent research institutes.