The Friends of Ecole Polytechnique, a sister organisation of the Ecole Polytechnique (Paris) Foundation, has launched a new academic and research chair on financial regulation, “Analytics and models for regulation” in New York.
This chair, focusing on statistics and models for financial regulation, aims at bringing quantitative answers to help regulating the current financial system.
“The objective of the chair is to better understand the process of price-setting and the impact of market participants’ behavior in the fundamental features of prices.
“It also aims to give the regulator some relevant analysis tools in the context of high-frequency trading,” the organisation stated.
Among research purposes, the chair will demonstrate the tick relevance – the smallest allowed price gap between two transactions – as a high-frequency trading regulation tool, in order to eventually shape a notion of optimal tick-size.
Researchers will work with data from the French regulator Autorité des Marchés Financiers.
David Faucon, CEO at Latour Trading, has donated €1m to the Friends of Ecole Polytechnique for the launch of the chair that will be headed by Mathieu Rosenbaum.
Rosenbaum is professor at the Ecole Polytechnique and is co-responsible for the Masters’ program “Probability and finance”, jointly run by the institution and UPMC.
His research mainly focuses on statistical finance problems, such as market microstructure modeling or statistical procedures for high frequency data and on regulatory issues, especially in the context of high frequency trading.