HFT database project to study impact of speed trading on markets
A global database capturing to-the-nanosecond information about high-frequency trade activity is being developed to identify flaws in the system and examine how the phenomenon is affecting asset price fluctuations. The first-of-its-kind project is being led by Dr Jean-Pierre Zigrand, co-director of the Systemic Risk Centre at the London School of Economics and Political Science, who said the database would allow researchers to better understand high-speed trades. The transatlantic database will collect data on prices, volumes and dates of transactions.

A database of high frequency trading (HFT) globally is to be developed over the next three years by economists and researchers.

The project - known as ‘Digging into High Frequency Data’ - will be led by co-director of the systematic risk centre at the London School of Economics and Political Science, Dr Jean-Pierre Zigrand.

He will work alongside experts from other universities across the UK, France, Germany, Finland and the US.

Those involved will attempt to capture data at the nanosecond on prices, volumes and dates of transactions, as well as other variables regulatory authorities could use like information on the state of the limit order book.

The database will be transatlantic and will allow researchers to analyse data generated by automated trading.

“These automated order book submissions and transactions now represent the majority of trading and although we have no formal proof of this yet, they are suspected of occasionally resulting in excessive price fluctuations,” Dr Zigrand said.

He added the digitalisation of society and the increased use of HFT and algorithms as completely changed the financial landscape.

“The increase in trading speed now allows markets to operate far beyond human capabilities, having a dramatic impact on the stability, liquidity and resilience of financial markets.”

The project will begin on 1 August this year.