The objective of this project is to understand the stochastic and dynamical properties of the global foreign exchange market. High-frequency electronic broking data will enable the construction of a time-evolving correlation network and analysis of the dynamic evolution of community structure. This research will examine market inefficiencies that can only be probed using accurate high-frequency data and develop theoretical advances in dynamic network analysis of importance in numerous applications.
Project staff and support

Martin Gould (Postgraduate Associate, Oxford)
Mason Porter (Academic supervisor, Oxford)
Sam Howison (Academic co-supervisor, Oxford)
Stacy Williams (Industrial supervisor, HSBC)
Vera Hazelwood (Technology Translator, Industrial Mathematics KTN)

This project is being carried out at Oxford, in conjunction with HSBC. It is supported by an EPSRC industrial CASE award. Start date: October 2009; duration: 3.5 years.