BigData analysis of financial interconnectedness: the new challenge to prevent contagion


The following blog article is based on the opening statements delivered by Chiara Perillo at the panel discussion on “New Conditions for Monetary and Fiscal Policy” with Martin F. Hellwig, Edward C. Prescott, Peter A. Diamond, Christopher A. Sims, 6th Lindau Nobel Laureate Meeting on Economic Sciences, Lindau, August 2017. The last decades have witnessed […]

The Order Book: A Challenge For Tomorrow’s Econometrics


The modeling of the order book is certainly one of the major chal- lenges for the contemporary econometrics. The constant and fast grow on a world-level of the electronic platforms and the associated increasing number of traders, led to a market of extreme complexity. The traditional trading based on human traders has been rapidly substituted […]

A brief introduction to Big Data and Signal Processing


The chaotic nature of financial big datasets requires in depth analysis of their properties. These properties vary from past information and signal filtering to statistical inference and arbitrage identification. There are some general approaches that one should take into consideration when dealing with big chunks of data. To capitalize on the Big Data, information has […]

Ubiquitous Scaling Laws and Irrelevant Time


“Who owns the information, he owns the world”. This phrase became famous in 1815 when Rothschild family managed to earn about 3 billion British Pounds and became the owners of a large part of the British economy in one day, simply by having a bit more information about results of the famous Waterloo battle than […]

A Brief Discussion About Utilizing High-Frequency News Data In Finance


In the last two decades a lot of endeavors have been made to develop tools in analyzing high-frequency financial data (e.g., transactions and quotes, or TAQ data). The outcome include a series of econometric models which enable us to analyze microstructure of the market, to estimate and forecast volatility on a high-frequency basis, to scrutinize […]

Complex Networks in Financial Markets


In most natural and engineered systems, a set of entities interact with each other in complicated patterns that can involve multiple types of relationships, change in time and include multiple layers of connectivity. In order to gain understanding in such complex systems it is important to consider such features. A network simply put, is a […]

An introduction to BigData in Finance: the econometric point of view


Ultra-high-frequency data are probably the perfect representative for the financial markets of the advent of BigData. It is well known that over the last decade the availability of high-frequency data has rapidly disrupted the financial industry as we knew it. What might be less known is the impact from an econometric point of view. In […]

Blog introduction


People in modern societies are leaving behind a vast amount of data that can be analysed and exploited in new and unprecedented ways to understand and model financial markets for better risk management. These data sets of high-volume, high-velocity, and high-variety information, directly relevant to the financial sector, arise from various sources. The sources include […]