Analysis of exchange and over-the-counter asset prices - Liquidity, volatility and optimal trading strategies

Engage项目的目的是对证券交易所和场外交易的交易数据进行统计分析。总的来说，我们的行业合作伙伴TMX集团对发现两个数据集之间的因果关系和/或可能的相关性感兴趣。特别是，他们有兴趣发现流动性和股票价格波动性之间的任何可能联系，这是以前研究过的重要问题，但通常不使用交易所和场外交易数据。这个Engage项目将是广泛研究这两个数据集的第一次尝试。最小化交易成本是许多基金经理面临的一个重要问题，特别是在危机期间。这个Engage项目的另一个方面是调查交易策略和价格动态之间的关系。

The purpose of this Engage project is to carry out statistical analysis of trading data from stock exchanges and over-the-counter deals. In general, the TMX group, our industry partner, is interested in discovering causing effects and/or possible correlations between the two data sets. In particular, they are interested in uncover any possible link between liquidity and volatility of stock prices, which is an important issues that have been investigated previously but usually not using both exchange and over-the-counter data. This Engage project will be a first attempt of studying these two data sets extensively. Minimizing trading costs is an important issue faced by many fund managers, especially during crisis. Another aspect of this Engage project is to investigate the relationship between trading strategies and price dynamics.