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STAQAMOF SIGNED

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

Total Cost €

0

EC-Contrib. €

0

Partnership

0

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Project "STAQAMOF" data sheet

The following table provides information about the project.

Coordinator
ECOLE POLYTECHNIQUE 

Organization address
address: ROUTE DE SACLAY
city: PALAISEAU CEDEX
postcode: 91128
website: http://www.polytechnique.fr

contact info
title: n.a.
name: n.a.
surname: n.a.
function: n.a.
email: n.a.
telephone: n.a.
fax: n.a.

 Coordinator Country France [FR]
 Project website https://quantreg.com/people/mathieurosenbaum/
 Total cost 1˙165˙625 €
 EC max contribution 1˙165˙625 € (100%)
 Programme 1. H2020-EU.1.1. (EXCELLENT SCIENCE - European Research Council (ERC))
 Code Call ERC-2015-STG
 Funding Scheme ERC-STG
 Starting year 2016
 Duration (year-month-day) from 2016-10-01   to  2021-09-30

 Partnership

Take a look of project's partnership.

# participants  country  role  EC contrib. [€] 
1    ECOLE POLYTECHNIQUE FR (PALAISEAU CEDEX) coordinator 1˙165˙625.00
2    UNIVERSITE PIERRE ET MARIE CURIE - PARIS 6 FR (PARIS) participant 0.00

Map

 Project objective

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.

 Publications

year authors and title journal last update
List of publications.
2019 Omar El Euch Jim Gatheral Mathieu Rosenbaum
Roughening Heston
published pages: , ISSN: 0952-8776, DOI:
Risk Magazine 2019-07-10
2017 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
2019 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
2017 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
2018 Omar El Euch, Mathieu Rosenbaum
The characteristic function of rough Heston models
published pages: , ISSN: 0960-1627, DOI: 10.1111/mafi.12173
Mathematical Finance 2019-06-19
2018 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
2018 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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The information about "STAQAMOF" are provided by the European Opendata Portal: CORDIS opendata.

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