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 (EuroSciVoc)
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
CORDIS classifies projects with EuroSciVoc, a multilingual taxonomy of fields of science, through a semi-automatic process based on NLP techniques. See: The European Science Vocabulary.
- engineering and technology electrical engineering, electronic engineering, information engineering electrical engineering electric energy
- social sciences economics and business economics microeconomics
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Programme(s)
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Multi-annual funding programmes that define the EU’s priorities for research and innovation.
Topic(s)
Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
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Calls for proposals are divided into topics. A topic defines a specific subject or area for which applicants can submit proposals. The description of a topic comprises its specific scope and the expected impact of the funded project.
Call for proposal
Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
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Procedure for inviting applicants to submit project proposals, with the aim of receiving EU funding.
Funding Scheme
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Funding scheme (or “Type of Action”) inside a programme with common features. It specifies: the scope of what is funded; the reimbursement rate; specific evaluation criteria to qualify for funding; and the use of simplified forms of costs like lump sums.
Coordinator
78457 KONSTANZ
Germany
The total costs incurred by this organisation to participate in the project, including direct and indirect costs. This amount is a subset of the overall project budget.