Mila Getmansky Sherman, a finance professor at Isenberg, has received a $196,518 grant from the National Science Foundation (NSF)’s Digging into Data Challenge. Professor Sherman’s award will fund a 3+ year research project, “Digging into High Frequency Data: Present and Future Risks and Opportunities.”
The project has two principal objectives. First, it will create an infrastructure that yields a homogeneous database linking currently incompatible datasets in European and U.S. securities markets. Greater uniformity, she notes, is necessary for research that connects activities in those markets. The current shortcoming is attributable, she says, to vast increases in trading speed and related fragmentation in market activity. They have spawned idiosyncratic, frequently incompatible data sets.
The project’s second objective is to build and analyze financial market models based on high frequency data. Those models, notes Sherman, should prove critical to our understanding of how electronic markets work. That would help us to deploy critical empirical data in financial research and regulation—improving our understanding of financial turbulence and its causes and contagion.
Professor Sherman’s earlier distinction this spring—the 2016 Graham and Dodd Award for Excellence is the Chartered Financial Analyst Institute’s honor for the top paper in its field. Her award-winning article, “Interconnectedness of the CDS Market,” appeared in the July/August 2016 issue of the Financial Analysts Journal.