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的碎片化(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行远远超出了人类的能力。在其他变化中，在大多数市场，传统做市商已被高频交易员(HFT)取代。这一替代对金融市场的运作和稳定产生了重大影响。由此产生的变化引起了投资者、做市商、交易所和监管机构的激烈辩论和审查。为了从不同的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、稳定性和服务实体经济和社会的能力受到影响的程度，拥有适当的数据和管理这些数据的能力是至关重要的。这个项目的第一个目标是构建、验证和同质化项目研究人员已有的多个数据集，并创建一个跨大西洋证券市场数据库(针对普通股和其他证券，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基础设施，以清理和连接美国和欧洲的数据集，使研究团队能够访问和利用这些数据，并向其他研究人员和监管机构提供有关如何合并这些数据的知识。这种原始形式的数据不适合分析，首先需要重新创建限价指令账簿，同时考虑到每个交易所和另类交易场所的特点。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如何运作的理解。正如过去20年接连发生的金融危机所表明的那样，在研究和监管方面缺乏经验性的金融数据阻碍了对这些事件的更广泛理解。为了了解金融动荡的原因、金融传染和后果，拥有全面的数据是很重要的。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互联关系，并为理解金融危机和构建有效的金融监管提供新的见解。随后的第三个目标是创建一个由欧洲和美国金融和计算科学研究人员组成的网络，他们合作生成并使用非常先进的计算工具来分析和解释这些数据，用于研究和政策目的。为了更进一步，作为这一跨大西洋倡议的一部分，该小组计划与金融、应用数学、物理和计算机科学方面的其他研究中心进行合作。该研究小组的合作伙伴和主要调查人员是：-PELIZZZON Loriana，德国法兰克福歌德大学SAFE研究中心-“SAFE”-美国加州大学伯克利分校哈斯商学院的亨德肖特·特伦斯·约翰-“Haas BS”-英国伦敦经济学院的Zgrand Jean-Pierre-“LSE”-Fontaine Patrice，法国格勒诺布尔EUROFIDAI实验室国家研究中心-“EUROFIDAI”-GETMANSKY Mila，伊森伯格管理学院，美国马萨诸塞州阿默斯特大学--萨林·彼得，汉肯经济学院，芬兰赫尔辛基--“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 Among other changes, traditional market makers have been replaced by high-frequency traders (HFTs) in most markets.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"