Empirical Analysis of Financial Markets
Financial markets serve the important function of transferring risk across individuals and over time, and they provide information on the performance of firms and economies. As such their effective performance is of great interest to policymakers, pension holders, and consumers, yet recent events have created profound mistrust about their operation. The theme brings together researchers working on fundamental methodological issues that can help provide evidence on the functioning of financial markets. We have several projects concerned with market microstructure, about how the trading environment impacts the outcomes for long term investors and policy makers. Does the presence and use of advanced technology improve or degrade outcomes for pension funds and retail investors? What is the best way of measuring volatility with a view to comparisons across markets and across time? Does the presence of market stabilisation mechanisms such as circuit breakers reduce the potential for nonlinear feedback loops and volatility spillovers across securities and markets? Speed is one aspect of current financial markets, but big data is another. The vast databases and the improved hardware and software environments mean that the research cutting edge is constantly being redefined to take account of the better possibilities for evidentiary analysis. We have several projects and researchers who are at the forefront of this work.
Nonparametric Estimation of Large Spot Volatility Matrices for High-Frequency Financial Data
Bu, R., Li, D., Linton, O. and Wang, H.
JIWP Number: 2208
Dynamic Autoregressive Liquidity (DArLiQ)
Hafner, C. M., Linton, O. B. and Wang, L.
JIWP Number: 2206
SoFiE 2022 Annual Conference
The SoFiE 2022 Annual Conference will take place at Churchill College, University of Cambridge, from the 24th-26th June 2022 and the Post-Conference for Young Scholars will be held on 27th June 2022.