About

Goals

Inaugurated on 24-Oct-2016 and with Mathieu Rosenbaum, a professor at École Polytechnique, laureate of a European Research Council Grant in 2015 and of the Europlace Award for Best Young Researcher in finance in 2014, as the Chair Holder, this research team was established with a strong academic core and collaborations with known names from the financial industry.

Regulating financial markets demands knowledge about how agents interact; the revolution of electronic trading has not only changed the form and the speed of these interactions but it also produced a staggering amount of data. The chair will focus on how to adequately measure trading and quoting activity with advanced statistics and also on modeling the behaviours of the different participants in the market.

A good example of what this research team can do is provided by Mathieu’s work on the uncertainty zones model and the optimal tick size; as shown by the paper “How to Predict the Consequences of a Tick Value Change? Evidence from the Tokyo Stock Exchange Pilot Program” (Market Microstructure and Liquidity, Volume 2, 2016), which shows a successful ex ante assessment of the consequences of a tick value change.

Another example of the collaboration between the research group and regulators is the paper “The behaviour of high-frequency traders under different market stress scenarios” (to be published in Market Microstructure and Liquidity), where a collaboration with France’s Autorité des Marchés Financiers shows how HFTs and market-making activity behave under different volatility regimes.

We believe that other questions can also be successfully examined such that regulations can be implemented with:

  • A well design pilot with measurable indicators of performance
  • A better understanding of the externalities generated by these regulations

The team

Chair:

Ph.D candidates:

Ph.D graduates:

  • Omar El Euch (rough volatility, the connection between the micro/macro scales, maker/taker fees)
  • Pamela Saliba (collaboration with AMF) (High Frequency Trading)

Post Doc:

Scientific Advisor:

Associate researchers:

Main collaborators (non-academic):

  • Alexandre Laumonier
  • Laurent Fournier (Euronext)
  • Nicolas Megarbane (Autorité des Marchés Financiers)

Institutions collaborating with the chair:

  • BNP Paribas
  • Capital Fund Management
  • Euronext
  • Autorité des Marchés Financiers