The accumulation of high frequency market data in recent years has revealed many surprising results. These results are interesting both from theoretical and practical standpoints. The mechanism of price formation is at the very heart of economics; it is also of paramount importance to understand the origin of the well-known “anomalies” in financial price series (heavy tails, volatility clustering, etc.). Understanding high frequency data is therefore of obvious importance for practical purposes (organisation of markets, execution costs, price impact, etc.). It is also crucial to help the regulators, concerned with the organisation of liquidity in electronic markets and the issues raised by “high frequency trading”.
These issues are vigorously investigated by at least five different communities (economics, financial mathematics, econometrics, computer science and econo-physics), scattered in academic institutions, banks and hedge funds, with at present limited overlap and sometimes lack of visibility. On the other hand, due to the gigantic amount of available data, precise, quantitative theories can be now be accurately tested.
The organizers thought that it could be extremely fruitful to confront the ideas that have blossomed in those different communities in the past decade. In order to foster this confrontation and ease communication, we have gathered in Paris researchers from these different communities, including professionals, and ask them to present their recent research and the problems that, in their eyes, are most relevant to address in the near future. We have insisted on the importance of pedagogy and cross-disciplinary spirit. We are convinced that this event will be a unique opportunity to learn about recent research trends in finance.
The Scientific Committee
Frédéric ABERGEL, Jean-Philippe BOUCHAUD, Thierry FOUCAULT, Charles-Albert LEHALLE and Mathieu ROSENBAUM.