London School of Economics Embarks on High-Frequency Data Analysis Project

The project was first conceived in 2009, and will last for three years, beginning in August.

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Nigel Stead

Dr Jean-Pierre Zigrand, financial economist and co-director of the university’s Systemic Risk Center, has been appointed UK principal investigator, and will work with colleagues in the UK, France, Germany, Finland and the US on the “Digging into High-Frequency Data” project, which aims to examine how to improve the security of financial markets, following a decade of transformation as a result of faster trading speeds.

Zigrand’s team will create a transatlantic securities market database to all

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