digging into data

Principal Investigators
Patrice Fontaine, EUROFIDAI, France, ANR
Mila Getmansky Sherman, University of Massachusetts, Amherst, United States, NSF
Terrence John Hendershott, University of California, Berkeley, United States, NSF
Loriana Pelizzon, Goethe University Frankfurt, Germany, DFG
Peter Sarlin, Hanken School of Economics, Finland, AKA
Jean-Pierre Zigrand, London School of Economics and Political Science, United Kingdom, AHRC/ESRC

digging into data


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 clean up and combine European and US HFT data. We plan to structure, verify, and homogenize the data in order to make them exploitable for research and policy. A second goal is to analyze, compute and build models based on high frequency data to improve our understanding how electronic markets work. The data is vital for evaluating the impact of financial regulations and understanding market fluctuations and their interactions with the financial system. A third goal is to create a network of European and US researchers in finance and computer science to use advanced computational tools to analyze and interpret the data.

More details here.

Funder of the UK team: Economic and Social Research Council (ESRC). Grant number ES/R004021/1.

Start date: 01/08/2017
End date: 31/07/2021