Record #197362 - GSI Repository

STAQAMOF

Statistical modelling across price and time scales: a quantitative approach to modern financial regulation

Coordinator	Ecole Polytechnique ; U.P.M.C. Université Pierre et Marie Curie (Paris VI)
Grant period	2016-10-01 - 2021-09-30
Funding body	European Union
Call number	ERC-2015-STG
Grant number	679836
Identifier	G:(EU-Grant)679836

Note: This project aims at providing a new quantitative approach to financial regulation, notably in the context of high frequency trading. The key idea of our method is to build relevant statistical models through price and time scales, connecting the microstructure of financial markets to the long term behavior of prices. Doing so, we will be able to understand and quantify the macroscopic consequences of regulatory measures modifying the microscopic design of the market. Succeeding in this modelling task will require to address several intricate statistical problems. In particular new results will be needed in the fields of limit theory for semi-martingales, multifractal processes, rough stochastic differential equations, Hawkes processes and high-dimensional statistics. Hence, through this project, we not only have the hope to provide groundbreaking tools for worldwide regulation of financial markets but, concurrently, to answer important and challenging mathematical problems. In term of analyzing concrete regulatory measures, particular attention will be devoted to the issue of the choice of a proper tick value, that is the minimal price increment allowed on a financial market. Indeed, the tick value is the tool which seems to be favored by most policy makers in order to regulate high frequency trading.

Recent Publications

There are no publications

Record created 2016-11-19, last modified 2023-02-12

Similar records

Add to personal basket
Export as Author List with IDs BibTeX (UTF-8), EndNote XML, EndNote Text, RIS, MARC, Print MARC, MARCXML, DC,
Request correction
Submit fulltext

GSI Homepage \| GSI Library \| English Deutsch \| guest :: login GSI Repository
Search	Submit	Personalize Your alerts Your baskets Your searches	Help