Objective European financial markets are facing a dramatic change, which is characterized by the introduction of new financial instruments and trading systems as well as by merging or co-operation of exchanges. Moreover, important commodities like electric power can now be traded on exchanges. In order to assess these developments with regard to their impact on the functioning of the financial markets and the European economy as a whole a thorough empirical investigation of the European financial markets at the micro-level is a crucial prerequisite. The limited empirical evidence is largely restricted to the microstructure of U.S. exchanges and is not simply transferable to the European situation. The goal of the proposed network is the study of microstructure of European financial markets. This will be done on the basis of recently available data for various European financial markets at the transaction level (UHF-data): The special features of this type of data require the development of new econometric tools that combine methods from microeconometrics with methods from time series analysis.Therefore the objectives are twofold:( i) development of econometric methods for the analysis of ultra high-frequency data,(ii) empirical analysis of the market-microstructure of various European financial markets based on these new techniques. Special emphasis will be given to the development of multivariate models for UHF-data to analyze the joint dynamics of volatility and liquidity of financial markets and the link between various markets. Finally, the network expects to provide a comprehensive empirical characterization of the microstructure of European financial markets that can serve as a background for policy advice regarding the design and restructuring of financial markets in Europe. Fields of science engineering and technologyelectrical engineering, electronic engineering, information engineeringelectrical engineeringelectric energysocial scienceseconomics and businesseconomicseconometricssocial scienceseconomics and businesseconomicsmicroeconomics Programme(s) FP5-HUMAN POTENTIAL - Programme for research, technological development and demonstration on "Improving the human research potential and the socio-economic knowledge base" (1998-2002) Topic(s) Data not available Call for proposal Data not available Funding Scheme NET - Research network contracts Coordinator UNIVERSITAET KONSTANZ EU contribution No data Address Universitaetsstrasse 10 78457 KONSTANZ Germany See on map Total cost No data Participants (7) Sort alphabetically Sort by EU Contribution Expand all Collapse all CENTRE NATIONAL DE LA RECHERCHE SCIENTIFIQUE France EU contribution No data Address Boulevard Gabriel Péri 15 92245 MALAKOFF See on map Total cost No data INSEE - INSTITUT NATIONAL DE LA STATISTIQUE ET DES ETUDES ECONOMIQUE France EU contribution No data Address Avenue Pierre Larousse 3 92245 MALAKOFF See on map Total cost No data THE AARHUS SCHOOL OF BUSINESS Denmark EU contribution No data Address Fuglesangsalle 4 8210 AARHUS C See on map Total cost No data THE WARDEN AND FELLOWS OF NUFFIELD COLLEGE IN THE UNIVERSITY OF OXFORD United Kingdom EU contribution No data Address New Road OX1 1NF OXFORD See on map Total cost No data TILBURG UNIVERSITY Netherlands EU contribution No data Address Warandelaan 2 5000 TILBURG See on map Total cost No data UNIVERSIDAD CARLOS III DE MADRID Spain EU contribution No data Address 126,Calle Madrid 126 28903 GETAFE See on map Total cost No data UNIVERSITE CATHOLIQUE DE LOUVAIN Belgium EU contribution No data Address 34,Voie du Roman Pays 34 1348 LOUVAIN-LA-NEUVE See on map Total cost No data
