Research

Project High Energy Physics Tools in Limit Order Book Analysis (HighLO) applies particle physics methods and tools to financial market data.

Goals

We aim to identify malicious trading behavior such as market manipulation, to better protect markets.

For society

Our research enables governments, regulators, exchanges and market participants to better understand what happens when malicious trading occur, and how to respond.

Around the 2000s, financial markets such as stocks, futures and options markets began to shift from being physical markets to being almost fully electronic. This shift transformed trading, as it also became possible for computers (algorithms) to trade. Algorithms now account for the majority of trading activity. They act automatically and much faster: sometimes their actions are not even perceivable by the human eye. This also creates new challenges for regulators as data size has increased tremendously and new types of market manipulation have emerged. Where do you start looking when there is so much data?

This is where particle physics can help.

Particle physics has decades of experience in storing, processing and handling big, high-speed data. There are similarities between the billions of particle collisions in CERN's particle accelerator (Large Hadron Collider; LHC) and the high-speed trading on financial markets in which multiple orders per nanosecond are placed. Most collisions in the LHC show no anomalies, but when they do, this may lead to new ground-breaking insights for physicists. Project HighLO uses similar algorithms and tools CERN uses, to identify anomalies on financial market data. When there are anomalies in financial markets, market participants, exchanges and authorities want to know what happened, how the market responded and how they should respond.

Applying particle physics tools to financial data opens up a whole new world of analysis and research. It makes us able to see behavior and patterns that we did not see before.


Latest news and events

Jun 6, 2024
The WUR Impact Award will be presented to a team... [more]
Aug 25, 2023
Dit gaat over een natuurkundig model dat helpt bij fraudedetectie... [more]
Jun 29, 2023
Watch the seminar that Project HighLO gave at CERN here.... [more]
Jun 28, 2023
In this video, Project HighLO and three members from IMS... [more]

[see all news and events]

Research pillars

Anomaly Detection

Inspired by the anomaly detection CERN uses for their particle collider, Project HighLO aims to identify malicious anomalies in futures and options markets that have a high probability of being market manipulation.

Energy Markets

Project HighLO aims to detect market manipulation in energy markets, using a holistic overview of all connected European energy markets. This ensures a smoother transition towards more sustainable energy.

Agent-Based Simulations

Project HighLO uses the state of the art simulation software BioDynaMo - developed at CERN - to simulate financial markets, thereby creating a safe environment to experiment and test market events and conditions.

Latest publications

journal Apr 2024
Research areas and methods of interest in European intraday electricity market research-A systematic literature review

Sustainable Energy, Grids and Networks
https://doi.org/10.1016/j.segan.2024.101368
conference Mar 2024
Conformal Prediction for Stochastic Decision-Making of PV Power in Electricity Markets

Power System Computation Conference 2024
https://doi.org/10.48550/arXiv.2403.20149
working-paper Dec 2023
Quantifying and Modeling Price Volatility in The Dutch Intraday Electricity Market

SSRN
http://dx.doi.org/10.2139/ssrn.4668045
presentation Jun 2023
Discovering fraud: can CERN tools accelerate market surveillance

CERN Knowledge Transfer Seminar
https://indico.cern.ch/e/fraud

[see all publications]

People

Wageningen University & Research

Prof.dr.ir. Joost Pennings
Professor Marketing & Finance
CV
Marjolein Verhulst, MSc
PhD Student & Researcher
LinkedIn
Philippe Debie, MSc
PhD Student & Researcher
LinkedIn
Dr.ir. Tarek Alskaif
Assistant Professor
LinkedIn

CERN

Dr. Danilo Piparo
ROOT Project Leader
LinkedIn
Dr. Axel Naumann
Senior Expert Data Analytics
LinkedIn
Dr. Lorenzo Moneta
Senior Expert Machine Learning and Statistics
LinkedIn
Dr. Jonas Rembser
Senior Applied Fellow
LinkedIn

Affiliated researchers

CERN

Dr. Fons Rademakers
Chief Research Officer CERN openlab
LinkedIn
Dr. Lukas Breitwieser
Software Engineer BioDynaMo
LinkedIn
Tobias Duswald, MSc
PhD Student BioDynaMo
LinkedIn


Wageningen University & Research

Arjen Daane, MSc
Research Director Market Intelligence
LinkedIn
Prof.dr.ir. Bedir Tekinerdogan
Professor and Chair Information Technology
LinkedIn
Dr.ir. Cornelis Gardebroek
Associate Professor
ResearchGate


Maastricht University

Dr. Thomas Post
Associate Professor Finance
LinkedIn


University of Idaho

Dr. Andrés Trujillo-Barrera
Associate Professor
LinkedIn


Netherlands Authority for Consumers and Markets (ACM)

Dr. Steven Duivenvoorden
Senior Supervision Officer Energy & Data Scientist
LinkedIn

International expert group on market surveillance (IMS Group)

About

IMS Group is a collaboration between eighteen regulatory agencies across the world. It facilitates international collaboration and bridges the gap between high-energy physics, regulators and exchanges through co-creation and applying research findings in practice.

Objective

IMS Group aims to jointly tackle issues and challenges related to financial market surveillance. Academic research and breakthroughs are combined with expert knowledge from the industry. This allows, among others, for creating consistency in regulation, definitions and interpretations of the law.

Members

Exchanges and regulators from the Netherlands, Germany, France, Switzerland, Italy, United Kingdom, Norway, United States and the European Union are members of IMS Group.

Get in touch

To apply as a future partner and for media enquiries please contact highlo-info@cern.ch.

Cooperating partners