Digging into High Frequency Data: Present and Future Risks and Opportunities

挖掘高频数据：当前和未来的风险和机遇

• 批准号: 329107530
• 负责人: Professorin Dr. Loriana Pelizzon, Ph.D.
• 金额: --
• 依托单位: Leibniz-Institut für Finanzmarktforschung SAFE
• 依托单位国家: 德国
• 项目类别: Research Grants
• 财政年份: 2017
• 资助国家: 德国
• 起止时间: 2016-12-31 至 2020-12-31
• 项目状态: 已结题
• 来源: https://gepris.dfg.de/gepris/projekt/329107530?language=en
• 关键词: Digging; into; Frequency; Data; Present

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.

由于交易速度的大幅提高和市场的分散化，全球股市发生了根本性变化。高频交易（HFT）的出现对金融市场的运作和稳定产生了巨大影响。为了正确调查高频交易的影响，获得适当的数据至关重要。该项目旨在清理和联合收割机欧洲和美国的高频交易数据。我们计划对数据进行结构化、验证和同质化，以便使其可用于研究和政策制定。第二个目标是基于高频数据分析、计算和构建模型，以提高我们对电子市场运作方式的理解。这些数据对于评估金融监管的影响、了解市场波动及其与金融体系的相互作用至关重要。第三个目标是建立一个由欧洲和美国金融和计算机科学研究人员组成的网络，使用先进的计算工具来分析和解释数据。

项目成果

Resiliency: Cross-Venue Dynamics with Hawkes Processes

弹性：霍克斯流程的跨场地动态

• DOI: 10.2139/ssrn.3711976
• 发表时间: 2020
• 期刊: Econometric Modeling: Capital Markets - Risk eJournal
• 作者: Pelizzon;Loriana;Sagade;Satchit;Vozian
• 通讯作者: Vozian

Liquidity commonality and high frequency trading: Evidence from the French stock market

• DOI: 10.1016/j.irfa.2019.101428
• 发表时间: 2020-05
• 期刊: International Review of Financial Analysis
• 影响因子: 8.2
• 作者: P. Anagnostidis;P. Fontaine

Predicting stock price and spread movements from news

• DOI: 10.24251/hicss.2021.192
• 发表时间: 2021
• 作者: Pontus Wistbacka;Samuel Rönnqvist;Katia Vozian;Satchit Sagade

Price Informativeness and High Frequency Trading in Electronic Call Auction Markets

电子集合拍卖市场的价格信息性和高频交易

• DOI: 10.2139/ssrn.3098718
• 发表时间: 2020
• 作者: Anagnostidis;Fontaine;Varsakelis
• 通讯作者: Varsakelis

High-Frequency Trading (HFT) in the Stock Market and the Costs of Option Market Making

• DOI: 10.2139/ssrn.3776590
• 发表时间: 2020-01
• 期刊: Capital Markets: Market Efficiency eJournal
• 作者: M. Nimalendran;Khaladdin Rzayev;Satchit Sagade