High Frequency Trading (HFT) has attracted significant research attention after the market events of May 6, 2010. On that day, with in the period of 30 minutes U.S. stock market indices faced a drop of 5% and rebounded rapidly. Most of the stocks recovered from most of their losses but some of them ended in the red. This high volatile intraday phenomenon is referred to as Flash Crash. Even though flash crashes are rare events, mini-flash crashes (scaled down version of flash crashes) are quite frequent in the present era of interconnected trading venues. One of the reasons for flash crashes is the events which are generated by HFT that destroy liquidity and create high volatility in the markets. The main aim of this project is studying limit order book data from a trading venue and formalizing the market dynamics in order to study the relationship between volatility and liquidity. In addition to that we give a new way to assess the risk of a flash crash that could estimate the probability of realising certain percentage of price crash in the near horizon. This will be carried out by:
1. Modelling the arrival rates and size distributions of the limit/market orders into the limit order book, and
2. Capturing the fast-changing market dynamics by modelling the state of the limit order book as formalization of double auction market.
The successful candidate will receive a £13726 bursary (years 2 and 3 linked to RCUK Doctoral Stipend rate) plus a contribution towards tuition fees of up to the equivalent of the universityâs Home/EU rate for the duration of their scholarship, subject to performance.
Applicants must hold a First Class or Upper Second Class Honours Bachelorâs or Masterâs degree (UK or UK equivalent) in a relevant discipline.
Applications are sought by the indicated closing date for starting in September 2013.
For additional information about the studentship and links to the application form please go to: http://www2.gre.ac.uk/research/study/studentships
The application form should be completed and returned to: [email protected]Â and include: a comprehensive CV and a covering letter explaining your interest in the project and how it relates to past experience and present motivations. Attachments should be in PDF or Word format.
The closing date for applications is 12.00 UTC on Tuesday 4 June 2013