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

由于交易速度的大幅提高和市场的碎片化，全球股市已经发生了根本性的变化。高频交易的出现对金融市场的运行和稳定产生了巨大的影响。要正确调查高频交易的影响，拥有适当的数据至关重要。该项目旨在清理和合并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，以便使它们可用于研究和政策。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如何运作的理解。这些数据对于评估金融监管的影响和了解市场波动及其与金融系统的相互作用至关重要。第三个目标是创建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，利用先进的计算工具分析和解释数据。

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.