BIGDATA: IA: Collaborative Research: Understanding the Financial Market Ecosystem

这是一个涉及计算机科学和经济学的跨学科项目。需要解决的大数据问题涉及如何分析和理解金融交易及其对股市的影响。该项目引入了新的金融交易行为模型，并应用大数据技术来实现这些模型。该项目将通过将金融经济学家和数据科学家聚集在一系列工作间来促进对机器-机器和机器-人类交互的金融生态系统的研究。PI将与国家超级计算中心合作，通过使用两个专有高频数据集对高频交易员(HFT)、买方算法交易员(BAT)和人类交易员进行分类，开发一种新的、更准确的交易频率分类。研讨会将促进研究新的金融生态系统对整个金融体系和总体经济的影响，并为经济学中的金融学科创建新的指标和数据。该奖项反映了NSF的法定使命，并通过使用基金会的智力优势和更广泛的影响审查标准进行评估，被认为值得支持。

This is an interdisciplinary project involving computer science and economics. The big data problem to be addressed concerns how to analyze and understand financial trading, and its effects on the stock market. The project introduces new behavioral models of financial trading and applies big data techniques to implement them. The project will foster research on the financial ecosystem of machine-machine and machine-human interactions by bringing financial economists and data scientists together in a series of workshops.The PIs will work with the National Center for Supercomputing and develop a new and more accurate taxonomy of trading frequencies by categorizing high frequency traders (HFT), buy-side algorithmic traders (BAT) and human traders using two proprietary high frequency datasets. The workshops will foster research on the implications of the new financial ecosystem for the overall financial system and the economy in general, as well as creating new metrics and data for the discipline of finance in economics.This award reflects NSF's statutory mission and has been deemed worthy of support through evaluation using the Foundation's intellectual merit and broader impacts review criteria.