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

挖掘高频金融数据：当前和未来的风险和机遇（ATLANTIS）

基本信息

批准号：
ES/R004021/1
负责人：
Jean Pierre Zigrand
金额：
$ 15.36万
依托单位：
London School of Economics and Political Science
依托单位国家：
英国
项目类别：
Research Grant
财政年份：
2017
资助国家：
英国
起止时间：
2017 至无数据
项目状态：
已结题

来源：
https://gtr.ukri.org/projects?ref=ES%2FR004021%2F1
关键词：
Digging into Frequency Financial Data

项目摘要

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 Among other changes, traditional market makers have been replaced by high-frequency traders (HFTs) in most markets.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"

在过去的十年里，由于交易速度的大幅提高以及随之而来的市场活动的碎片化（具有多个交易场所），全球股市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商所取代。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。为了从不同角度适当调查高频交易对金融市场的影响，以及由此产生的市场效率、稳定性和服务真实的经济和社会的能力受到影响的程度，首先，拥有适当的数据和管理这些数据的能力是至关重要的。该项目的第一个目标是构建，验证和同质化多个数据集已经提供给该项目的研究人员，并创建一个跨大西洋证券市场数据库（适用于普通股，也适用于债券、期权和期货等其他证券），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，以清理和链接美国和欧洲的数据集，使这些数据可供研究团队访问和利用，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。这种原始形式的数据不适合分析，首先需要重新创建限价订单簿，同时考虑到每个交易所和替代交易场所的特殊性。第二个目标是基于高频数据进行分析、计算和建立模型，以提高我们对电子市场如何运作的理解。正如过去二十年来连续发生的金融危机所表明的那样，研究和监管方面缺乏经验性金融数据，阻碍了对这些事件的更广泛理解。重要的是要有一个全面的数据，以了解原因，金融传染和金融动荡的后果。该项目将有助于解释数据，了解证券和金融利益相关者之间的全球相互联系，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，他们合作生成和使用非常先进的计算工具来分析和解释这些数据，以供研究政策目的。为了进一步发展，作为这项跨大西洋计划的一部分，该团队计划与金融、应用数学、物理学和计算机科学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人员是：- PELIZZON Loriana，歌德大学安全研究中心，法兰克福，德国-“安全”- HENDERSHOTT Terrence John，美国加州大学伯克利分校哈斯商学院-“哈斯学士”- ZIGRAND Jean-Pierre，英国伦敦经济学院-“LSE”-方丹Patrice，国家科学研究中心，EUROFIDAI实验室，法国格勒诺布尔-“EUROFIDAI”- GETMANSKY谢尔曼米拉，伊森伯格管理学院，马萨诸塞大学阿默斯特分校，美国-“UMASS”- SARLIN Peter，汉肯经济学院，芬兰赫尔辛基-“HANKEN”