Explore the words cloud of the STAQAMOF project. It provides you a very rough idea of what is the project "STAQAMOF" about.
The following table provides information about the project.
|Coordinator Country||France [FR]|
|Total cost||1˙165˙625 €|
|EC max contribution||1˙165˙625 € (100%)|
1. H2020-EU.1.1. (EXCELLENT SCIENCE - European Research Council (ERC))
|Duration (year-month-day)||from 2016-10-01 to 2021-09-30|
Take a look of project's partnership.
|1||ECOLE POLYTECHNIQUE||FR (PALAISEAU CEDEX)||coordinator||1˙165˙625.00|
|2||UNIVERSITE PIERRE ET MARIE CURIE - PARIS 6||FR (PARIS)||participant||0.00|
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.
|year||authors and title||journal||last update|
Omar El Euch
published pages: , ISSN: 0952-8776, DOI:
Jim Gatheral, Thibault Jaisson, Mathieu Rosenbaum
Volatility is rough
published pages: 933-949, ISSN: 1469-7688, DOI: 10.1080/14697688.2017.1393551
|Quantitative Finance 18/6||2019-07-10|
Omar El Euch, Masaaki Fukasawa, Jim Gatheral, Mathieu Rosenbaum
Short-Term At-the-Money Asymptotics under Stochastic Volatility Models
published pages: 491-511, ISSN: 1945-497X, DOI: 10.1137/18m1167565
|SIAM Journal on Financial Mathematics 10/2||2019-07-10|
Mark Podolskij, Mathieu Rosenbaum
Comment on: Limit of Random Measures Associated with the Increments of a Brownian Semimartingale
published pages: , ISSN: 1479-8409, DOI: 10.1093/jjfinec/nbx036
|Journal of Financial Econometrics||2019-06-19|
Omar El Euch, Mathieu Rosenbaum
The characteristic function of rough Heston models
published pages: , ISSN: 0960-1627, DOI: 10.1111/mafi.12173
Omar El Euch, Masaaki Fukasawa, Mathieu Rosenbaum
The microstructural foundations of leverage effect and rough volatility
published pages: 241-280, ISSN: 0949-2984, DOI: 10.1007/s00780-018-0360-z
|Finance and Stochastics 22/2||2019-06-19|
Nicolas Megarbane, Pamela Saliba, Charles-Albert Lehalle, Mathieu Rosenbaum
The Behavior of High-Frequency Traders Under Different Market Stress Scenarios
published pages: 1850005, ISSN: 2382-6266, DOI: 10.1142/S2382626618500053
|Market Microstructure and Liquidity||2019-06-19|
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