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STAQAMOF SIGNED

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

Total Cost €

EC-Contrib. €

Partnership

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Outcomes and
results

STAQAMOF project word cloud

Explore the words cloud of the STAQAMOF project. It provides you a very rough idea of what is the project "STAQAMOF" about.

mathematical favored concurrently groundbreaking quantify macroscopic regulation proper modifying trading time differential dimensional makers rough quantitative financial context multifractal regulatory statistical limit answer price behavior seems notably theory hawkes hope martingales succeeding worldwide stochastic connecting prices tick hence tool allowed market statistics policy scales understand models regulate analyzing markets increment microstructure minimal devoted tools semi issue intricate equations frequency microscopic idea

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 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.	FR (PALAISEAU CEDEX)	coordinator	1˙165˙625.00
2	UNIVERSITE PIERRE ET MARIE CURIE - PARIS 6 UNIVERSITE PIERRE ET MARIE CURIE - PARIS 6 Organization address address: Place Jussieu 4 city: PARIS postcode: 75252 website: www.upmc.fr contact info title: n.a. name: n.a. surname: n.a. function: n.a. email: n.a. telephone: n.a. fax: n.a.	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

List of publications.
year	authors and title	journal	last update
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.