Digging into High Frequency Financial Data: present and future risks and opportunities (ATLANTIS)

在过去十年中，由于交易速度的大幅提高，以及随之而来的市场活动分散（有多个交易场所），全球股票市场发生了根本性的变化。交易速度的提高使市场的运作远远超出了人类的能力。除其他变化外，在大多数市场中，传统的做市商已被高频交易员（hft）所取代。这种替代对金融市场的运作和稳定产生了巨大影响。由此产生的变化引发了投资者、做市商、交易所和监管机构的激烈辩论和审查。要从不同角度正确研究高频交易对金融市场的影响，以及由此产生的市场效率、稳定性和服务实体经济和社会的能力受到多大程度的影响，首先要有适当的数据和管理这些数据的能力。该项目的第一个目标是构建、验证和均质化项目研究人员已经可以使用的多个数据集，并创建一个跨大西洋证券市场数据库（用于普通股，但也用于其他证券，如债券、期权和期货），可以很容易地用于欧洲和美国的研究。主要目标是建立基本的基础设施来清理和连接美国和欧洲的数据集，使这些数据对研究团队来说是可访问和可利用的，并提供如何将这些数据合并给其他研究人员和监管机构的知识。这些原始形式的数据不适合分析，首先需要重新创建限价指令账簿，同时考虑到每个交易所和替代交易场所的特点。目前还没有这样的数据库。第二个目标是分析、计算和建立基于高频数据的模型，以提高我们对电子市场运作方式的理解。正如过去二十年的连续金融危机所表明的那样，研究和监管中缺乏经验金融数据阻碍了对这些事件的更广泛理解。为了理解金融动荡的原因、金融传染和后果，重要的是要有一个整体的数据。该项目将有助于解释数据，理解证券和金融利益相关者之间的全球互联性，并为理解金融危机和构建有效的金融监管提供新的见解。接下来的第三个目标是建立一个由欧洲和美国金融和计算科学研究人员组成的网络，这些研究人员合作生成并使用非常先进的计算工具，以分析和解释这些数据，用于研究和政策目的。为了更进一步，作为跨大西洋计划的一部分，该团队计划与金融、应用数学、物理和计算机科学等领域的其他研究中心合作。该研究团队的合作伙伴和主要研究者是：-德国法兰克福歌德大学SAFE研究中心PELIZZON Loriana -“SAFE”-美国加州大学伯克利分校哈斯商学院HENDERSHOTT Terrence John -“Haas BS”-英国伦敦经济学院ZIGRAND Jean-Pierre -“LSE”-法国格勒诺布尔EUROFIDAI实验室国家科学研究中心FONTAINE Patrice -“EUROFIDAI”- GETMANSKY SHERMAN Mila，美国马萨诸塞大学阿默斯特分校伊森伯格管理学院-“马萨诸塞大学”- SARLIN Peter，芬兰赫尔辛基汉肯经济学院-“汉肯”

During the past decade, global equity markets have been fundamentally altered due to the vast improvements in the speed of trading and the consequent fragmentation (with multiple trading venues) of market activity. The increase in trading speed allows markets to operate far beyond human capabilities. Among other changes, traditional market makers have been replaced by high-frequency traders (HFTs) in most markets. This replacement has had a dramatic impact on the functioning and the stability of the financial markets. The resulting changes have led to intense debate and scrutiny from investors, market makers, exchanges, and regulators.To properly investigate from different perspectives the impact of HFTs on financial markets and the extent by which the resulting market efficiency, stability and ability to serve the real economy and society are affected, it is crucial to have the appropriate data and the capacity to manage these data in the first place.The first objective of this project is to structure, verify and homogenize multiple datasets already available to the researchers of the project and to create a transatlantic securities markets database (for common stocks but also for other securities such as bonds, options and futures) that can be easily used for research in Europe and the US. The primary goal is to set up the basic infrastructure to clean up and link the US and European datasets and to make this data accessible and exploitable for the research team and to provide knowledge on how to merge these data to other researchers and regulators. Such data in its raw form is unsuitable for analysis and the limit-order books need to be recreated in the first place, taking into consideration the peculiarities of each exchange and alternative trading venue. At present, no such database exists.The second objective is to analyze, compute and build models based on high frequency data to improve our understanding how electronic markets work. As demonstrated by successive financial crises in the last twenty years, the lack of empirical financial data in research and regulation is a hindrance to the wider understanding of these events. It is important to have a holistic data in order to understand causes, financial contagion, and consequences of financial turbulence. This project will help with interpreting the data, understanding global interconnectedness between securities and financial stakeholders, and providing new insights for understanding financial crises and constructing effective financial regulations.A subsequent third goal is to create a network of European and US researchers in finance and computational science who collaborate to generate and use very advanced computational tools to analyze and interpret this data for research and policy purposes. To go further, as part of this transatlantic initiative, the team plans to collaborate with other research centers in finance, applied mathematics, in physics and in computer science.The partners and principal investigators in this research team are:- PELIZZON Loriana, Research Center SAFE, Goethe University Frankfurt, Germany - "SAFE"- HENDERSHOTT Terrence John, Haas School of Business, University of California Berkeley, USA - "HAAS BS"- ZIGRAND Jean-Pierre, London School of Economics, United Kingdom - "LSE"- FONTAINE Patrice, Centre National de la Recherche Scientifique, Laboratory EUROFIDAI, Grenoble, France - "EUROFIDAI"- GETMANSKY SHERMAN Mila, Isenberg School of Management, UMass Amherst, USA - "UMASS"- SARLIN Peter, Hanken School of Economics, Helsinki, Finland - "HANKEN"