Investments for the future Last modification: 10/22/2024 PLADIFES Led by the Louis Bachelier Institute, in partnership with the EUROFIDAI UAR CNRS 3390 laboratory, ESSEC, IFA and the finance innovation competitiveness cluster, the Plate-Forme De Calcul Numérique, Intelligence Artificielle et Base Internationale de Données Environnementales, Financières et Sociétales à Fréquence Elevée (Equipex PLADIFES) has been selected within the framework of the Investissements d’avenir 2021 (ANR-21-ESRE-0036). The creation of the EUROFIDAI daily and BEDOFIH high frequency financial databases was the first phase of this innovative research project. Academics benefit fully from these financial databases for the European markets, in the same spirit as those of CRSP for the US market. The Equipex PLADIFES represents phase II of this research project. The objective is to develop these two financial databases by merging them into a single platform, extending their coverage to other countries outside Europe and adding extra-financial “ESG” data using modern artificial intelligence techniques. The Equipex PLADIFES is a player in the digital revolution in the field of finance and its contributions will be numerous: The merger of the existing projects of EUROFIDAI (Daily-ESSEC and BEDOFIH), Green Value AI, and the Pierre-Louis-Lions research group (specialised in mathematics and AI) within the ILB Collaboration and sharing of resources between researchers in mathematics, AI, finance and computer science from several institutions (EUROFIDAI (CNRS), ESSEC (ESSEC-Amundi Chair), Institut Louis Bachelier and Pierre-Louis-Lions’ research group in mathematics and artificial intelligence). The improvement of existing databases by adding high value-added extra-financial ESG criteria. Extending the scope of the current databases to countries outside Europe, more specifically to Asia, Australia, the Middle East, etc. The development, improvement and implementation of new numerical algorithms and techniques in artificial intelligence (text and image analysis, synthetic data production) Advancing fundamental mathematical research on mean-field games, optimal transport and deep learning Providing solutions to societal problems and providing significant support to international academic research in mathematics, statistics, econometrics and finance. Providing high quality financial services to investment managers, financial institutions and securities regulators. By creating this new platform for research in numerical computation and artificial intelligence, using high-frequency financial and ESG data, we will provide useful tools not only for researchers in applied mathematics and finance, but also for researchers in statistics, computer science, economics, climatology and the environmental field. This platform, which has no equivalent in the academic world, will also allow companies and regulatory bodies to check the relevance of their models, to help them make decisions and develop sustainable investment projects. Scientific and technical leader of the project: Pierre Louis LIONS, Scientific Director of the ILB and Professor at the Collège de France Coordinating institution: Institut Louis Bachelier Heads and websites of Axis: Axis 1 – Computational Mathematics – AI – Green Value: Pierre-Louis Lions and Peter Tankov (ILB, website) Axis 2 – Daily financial and ESG data: Jocelyn Martel (ESSEC – EUROFIDAI, website) Axis 3 – High frequency financial and extra financial data: Patrice Fontaine (CNRS -EUROFIDAI, website) Axis 4 – Valuation: Dominique Leblanc (IFA – PFI) Partner institutions: l’ILB, ESSEC, CNRS and the Finance Innovation competitiveness cluster, Information Finance Agency for industrial valorisation in the future. EQUIPEX D-FIH (finished) Selected in 2011, the Historical Financial Data project (D-FIH) is supported by PSE (Paris School of Economics) in partnership with TGIR PROGEDO, the Institut Louis Bachelier and IODS financial data aggregator. Equipex D-FIH aims to build a database containing bimonthly securities prices listed from 1796 to 1977 on French stock exchanges, along with all the information needed to create homogeneous price series and relevant information on issuers of these securities. Scientific and Technical Manager: Pierre-Cyrille Hautcoeur, President of the School of Advanced Studies in Social Sciences Scientific Coordinator of the project: Angelo Riva, Associate Researcher at Paris School of Economics (PSE) Supporting structure of the project: PSE (Paris School of Economics) Professional and institutional partners: TGIR PROGEDO, the Institut Louis Bachelier and the IODS financial data aggregator (Insead-European Data Saving Observatory Data Services) EQUIPEX BEDOFIH (finished) Supported by the Institut Louis Bachelier and the CNRS EUROFIDAI laboratory, the European High Frequency Financial Data Base project (BEDOFIH) was selected as a partner of Investments for the Future in February 2012. It aims to create a financial database with high-frequency European data, allowing very accurate analysis of the increasingly rapid dynamics of the European financial markets. In 2014, BEDOFIH launched a large call for projects on the use of high-frequency financial data. This call for projects enabled Equipex to better understand the expectations and needs of researchers regarding the database. Of the 52 proposal received, three were selected: Goethe University / Loriana Pelizzon (“Strategic Behavior of High-Frequency Traders During the Market Pre-Opening Period”), University of Toulouse / Sophie Moinas and Selma Boussetta (“Pre-Opening Period and Financial Competition”), Princeton University / Yacine Ait-Sahalia (“Empirical Analysis of the HFT Influencing Provisions of Liquidity”). The three winners represent a good French, European and international balance, and both microstructure and financial econometrics. Each of the winners has access to a preview at the base as well as financial assistance up to 40,000 euros. A further contribution – Paris-Dauphine University / Carole Gresse (“High-frequency trading and market stability”) – has been placed in the complementary list, thus providing access to the database. All French and foreign academic researchers can now request access to the BEDOFIH database. Further information on data and prices is available on the EUROFIDAI website. Scientific and Technical Manager: Patrice Fontaine, Eurofidai Director (UPS CNRS 3390) Project coordinator: Institut Louis Bachelier Project leaders: Institut Louis Bachelier and Eurofidai (UPS CNRS 3390) Academic partners: HEC Paris (GREGHEC), Institut des Grilles (UPS CNRS 3107), LPSC (UMR CNRS 5821) Professional and Institutional Partners: Pôle de compétitivité mondial Finance Innovation, Information Finance Agency and ESL.
