Atlantis research project
Patrice Fontaine, research professor at CNRS, chairman of EUROFIDAI and head of Equipex BEDOFIH wins an international research competition with the project "Digging into High Frequency Data: Present and Future Risks and Opportunities", jointly supported by ANR (Agence Nationale de la Recherche) for France and other international research bodies from Finland, Germany, the United Kingdom and the United States.
A transatlantic initiative for a better understanding of electronic markets
This project brings together scholars from economics, business and computer science from the UK, France, Germany, Finland and the US to study the emergence of computerized high frequency trading and its impact on global equity markets.
The 3 main goals of this project are consistent with the mission of EUROFIDAI:
- Clean up and combine European HFT data to make them exploitable for research.
- Analyze, compute and build models based on HFT data to improve our understanding how electronic markets work.
- Create a network of European and US researchers in finance and computer science to use advanced computational tools to analyze and interpret the data.
- Data Infrastructure and Stock Exchange Trading Rules
- Data Collection and Buildup of the Order Book - Patrice Fontaine, Terrence John Hendershot, Loriana Pelizzon, Jean-Pierre Zigrand and Peter Sarlin
- New Methodology to Reduce the Complexity of the Data - Peter Sarlin and Loriana Pelizzon
- Micro Perspective: Market Financial Architecture and Functioning
- Effect of HFT Activity on Traditional Aspects of Market Quality - Patrice Fontaine, Terrence John Hendershot and Loriana Pelizzon
- Financial Architecture of the Markets - Peter Sarlin, Mila Getmansky Sherman and Loriana Pelizzon
- Macro Perspective: Systemic Risk
- Investigation on "Black Swan" Events of HFT - Loriana Pelizzon, Mila Getmansky Sherman, Jean-Pierre Zigrand and Peter Sarlin
- Patrice Fontaine, Centre National de la Recherche Scientifique, Laboratory EUROFIDAI and Equipex BEDOFIH, Grenoble, France
- Loriana Pelizzon, Research Center SAFE & Goethe University Frankfurt, Germany
- Terrence John Hendershott, Haas School of Business, University of California Berkeley, USA
- Jean-Pierre Zigrand, London School of Economics, UK
- Mila Getmansky Sherman, Isenberg School of Management, UMass Amherst, USA
- Peter Sarlin, Hanken School of Economics, Helsinki, Finland
More information on the project