Centres d'excellences Equipements d'excellence

Base européenne de données financières à haute fréquence

BEDOFIH

Keywords: Database; Europe; Finance; Economics; Econometrics; Financial mathematics

Summary

The objective of this project is to create a European securities markets database (for common stocks but also for other securities such as exchange-traded funds (ETFs), exchange-traded commodities (ETCs), options, futures, etc.) with high-frequency data and to structure, verify, and make consistent the data during the periods of availability. The primary goal of the project is to store data and provide access to researchers. This new high-frequency database is unique in the sense that even CRSP, which is the reference in this field, does not yet provide historical high-frequency (intraday) data. There are some private initiatives such as the TAQ Database for the USA and the Tick History database of Thomson Reuters Sirca (a commercial company) for other countries. This database includes only prices, volumes and dates of the transactions, but unfortunately many interesting variables useful for academic researchers and regulatory authorities are missing. Currently, the Equipex BEDOFIH includes the high frequency data for the following markets: Paris (AMF-Euronext from 2009 to 2017), London (London Stock Exchange from 2011 to 2020) and Bats-ChiX (from 2011 to 2020), and Xetra (cash market from 2010 to 2019) and Eurex (derivative markets 07/2012-12/2012 and 2016). Trades, orders, help to build order book, and specific variables (identification of the type of trader for instance) can be provided. The information technology infrastructure consists currently of file storage for 655 To, 35 virtual machines and 72 CPU cores with 2,3 GHz processors for network services, databases access and computing purposes. For now, one team of researchers has published in the top journal of the field, three other papers have been published and sixteen working papers have been written, four PhD dissertations have been defended, and three PhD dissertations are in progress. The next steps are now to update the database and improve dissemination.

 

 

 

The author of this summary is the project coordinator, who is responsible for the content of this summary. The ANR declines any responsibility as for its contents.

General informations

Acronym: BEDOFIH
Reference Number: 11-EQPX-0006
Project Region: Île-de-France
Discipline: 6 - SHS
PIA investment: 5,000,000 €
Start date: March 2012
End date: December 2021

Project coordinator : Patrice FONTAINE
Email: patrice.fontaine@eurofidai.org

Consortium du projet

Etablissement coordinateur : Institut Louis Bachelier
Partenaire(s) : CNRS Alpes (Grenoble), HEC Jouy-en-Josas, CNRS IDF Sud (Gif), Paris Europlace (Finance Innovation), INSEAD OEE Data Services, Information Finance Agency, Université Grenoble Alpes

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