Periodic Reporting for period 4 - STAQAMOF (Statistical modelling across price and time scales: a quantitative approach to modern financial regulation)
Période du rapport: 2021-04-01 au 2021-09-30
We particularly focus on issues arising at the microstructure level: mitigating the effects of high frequency trading, optimal tick sizes, make-take fees systems, auctions, design of limit order books; and on the modelling and understanding of the volatility process
- Understanding the rough nature of the volatility.
- Design of new and more efficient market design mechanisms at the microstructure level: optimal take sizes, make-take fees, auctions
- Building a framework enabling financial regulator to assess the impact of the various market participants on overall market quality.
- Design of an order book model leading to improved strategies in term of inventory risk.
We also wish to understand other features of the volatility process, such as the so-called Zumbach effect, and relate them to the behavior of financial agents at the microscopic level. Quadratic Hawkes processes could probably represent a relevant modelling tool here.