GAUK - Financial instruments risk analysis using high frequency data
|Principal investigator:||PhDr. Ivo Jánský|
doc. Roman Horváth Ph.D., ČSOB Corporate Chair
PhDr. Milan Rippel
PhDr. Boril Šopov, MSc., LL.M.
The research project aims at analyzing volatility on markets for government bonds and equities using an innovative approach that takes advantage of high frequency data. According to the estimations published by the Aite Group LLC (High Frequency Trading in FX: Open for Business, 2010), high frequency trading at NYSE accounts for more than 73% of the total traded volume. Therefore, volatility analysis based on high frequency data seems to be necessary.
The primary focus will be a response of price of a financial instrument to a change in its rating, especially in the case of Eurozone countries. Authors believe that the analysis based on high frequency data will help to provide answers to questions such as the speed with which markets absorb new information. Researched outcomes will extend the existing literature that analyses markets primarily on daily data.
In the second part of the research project, authors plan to focus on a spillover effect and an information transmission mechanism of financial instruments that are traded at several markets. An existence of the spillover effect is a direct result of an existence of jointly connected markets and in the context of high frequency trading it creates arbitrage opportunities for traders.
|Work in grant:||-|