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Managed by the Institut Louis Bachelier and the CNRS Eurofidai laboratory, the European High-Frequency Financial Data Base (BEDOFIH) project was selected within the framework of Investments for the Future in February 2012. It aims to create a European high-frequency financial database, allowing very accurate analysis of the increasingly rapid dynamics of the European financial markets.

In 2014, BEDOFIH launched a wide-ranging call for projects on the use of high-frequency financial data. This call for proposals allows Equipex to better understand the expectations and needs of researchers in relation to the database. Of the 52 proposals received, three were selected:

  • A proposal from Goethe University by Loriana Pelizzon (“Strategic Behavior of High-frequency traders during the market pre-opening period”),
  • A proposal from Toulouse University, which is recognized for the quality of microstructure research, by Sophie Moinas and Selma Boussetta (“Pre-opening period and Financial Competition”),
  • A proposal from Princeton University by Yacine Aït-Sahalia (“Empirical Analysis of the factors influencing HFT’s provision of liquidity”).

The three winners make for a good French, European and international balance, and represent both microstructure and financial econometrics. Each of them benefits from priority access to the database and financial assistance up to €40,000. Two other proposals have been retained in the supplementary list, thus obtaining access to the database: Paris-Dauphine University with Carole Gresse (“High-frequency trading and market stability”) and Imperial College London with Robert Kosowoski (“High-frequency news and individual stocks: European perspective”).

Scientific and technical directorPatrice Fontaine, Director Eurofidai (UPS CNRS 3390) ● Project coordinatorInstitut Louis Bachelier ● Institutions managing the project Institut Louis Bachelier and Eurofidai (UPS CNRS 3390) ● Academic partnersHEC Paris (GREGHEC), Institut des Grilles (UPS CNRS 3107), LPSC (UMR CNRS 5821) ● Professional and institutional partnersINSEAD OEE Data Services (IODS), Pôle de compétitivité mondial Finance InnovationInformation Finance Agency and ESL.

All academic researchers worldwide can now access the BEDOFIH database, for more information about the data and prices please check the  EUROFIDAI website