Agents’ contribution to market quality, aggressive-passive pricing and the impact of the new MiFID 2 listing steps

Scientific project

The main lines of research are :

• Research on exchange rate forecasting based on the observation of participants’ flows on electronic books (based on Euronext-FX data)
• Research on bond price forecasting based on the observation of participants’ flows on electronic books (based on Euro-MTS data)
• Research on market quality measures based on the level of Dark trading
• Research on price discovery measures between regulated and alternative markets
• Research on the optimal aggregation of source signals in order to build an aggregated signal with characteristics that optimise its predictive power. We will work on financial transaction data and the predictive power will focus on price developments in the future