A new paradigm for high-frequency finance

Scientific Responsible for the Department: Massimiliano Caporin, Head of the Local Unit

Funder: Funded by the European Union - Next Generation EU

Objectives: PRICE is devoted to proposing a new paradigm for the analysis of high-frequency data in finance. The financial econometrics literature relies on a well-established paradigm: log-prices of financial assets evolve as a jump-diffusion process contaminated, at high frequency, by noise. This paradigm omits a fundamental feature. Intraday prices of financial assets are stale: they show a large incidence of zero returns. The research project PRICE aims at overcoming this imperfect paradigm by proving that the transition to a new one is unavoidable.

Research Network:

• University of Padova
• University of Rome Tor Vergata
• University of Verona

Duration: September 2023 – September 2025