University of Tasmania, Australia

High Frequency Finance

Transactions in financial markets occur with great frequency – often with many transactions per minute.  Understanding how information enters these markets and is distributed involves characterizing the empirical behavior of the transaction process and developing new methods of measuring the transmission of shocks across different assets. The project involves the application and development of high frequency financial econometric methods under the leadership of Professor Mardi Dungey. There are many existing assets which are unstudied in the high frequency domain, including equity index futures and options, environmental instruments, spot markets in bonds and individual stocks. This project is interested in describing the behaviour of markets previously unstudied in the high frequency dimension and particularly developing means of examining the transmission of information between asset markets at high frequency.  Assets of particular interest are the fixed income markets and the rapidly developing 24 hour electronic exchange systems such as Globex.  Avenues for study include modeling the time between transactions, price discovery in individual markets, the clustering of transactions, and characterizing the role of news announcements and volume in determining price behavior. The program has a strong interest in modeling discontinuities, or jumps, in price processes.  In particular, the presence of simultaneous jumps across multiple assets is providing a promising avenue in developing models of transmission across asset markets during financial crises.