PLATFORM OF NUMERICAL COMPUTATION, ARTIFICIAL INTELLIGENCE AND WORLD DATABASE OF HIGH-FREQUENCY ENVIRONMENTAL, FINANCIAL AND SOCIETAL DATA

Over the last ten years, two important initiatives to provide researchers with reliable access to financial data were launched in France by Eurofidai (UAR CNRS 3390) and the Institut Louis Bachelier (ILB). The Eurofidai database contains daily European financial data for common stocks, mutual funds, and corporate events and BEDOFIH provides high-frequency data for research. Since the 2015 Paris Climate Accord, interest in environmental, social, and governance (ESG) issues has grown considerably, however, researchers, public institutions, and financial players face difficulties accessing reliable and relevant ESG data. 

The aim of this project is to create an international platform for numerical computation, artificial intelligence, and financial and ESG data. The first objective is to merge the Eurofidai and BEDOFIH financial databases. The second objective is to incorporate new ESG data. The proposed platform contributes to the development of new mathematical and statistical methods and improvement of existing ones, such as (i) the theory of mean-field games; (ii) artificial intelligence (AI) methods; (iii) optimal transport and martingale optimal transport theories. 

The first full year of the project was mainly dedicated to the creation of institutional frameworks and physical infrastructures for the project. An important new development in the field of ESG data already available to the users is the ESG data cartography, which maps all conventional and alternative providers of ESG data and methodologies. The daily financial database has been extended to Asia, Oceania and Middle East, and the updating of the database has been automatized. A new market (DXE) has been included in the high-frequency financial database. The second full year of the project was dedicated, for the first axis of the project, to the creation of innovative databases based on data science techniques and to the setting up of a platform for the dissemination of these databases.