Analyzing the Effects of Market Legislation on Market Behavior

Jane Street Capital Mathematics, 2012-13

Liaison(s): Andy Niedermaier ’04
Advisor(s): Weiqing Gu
Students(s): Devin Bowers (PM), Matt Johnson, Jeehyun Kim, Matt Toal

Recent events have prompted the Securities and Exchange Commission to institute new regulations to prevent extreme market behavior. These regulations take effect for short periods of time when individual securities rapidly change in price. However, the impact of these regulations on market behavior has not yet been extensively studied. Our project is to apply quantitative techniques on high-frequency market data to determine the impact of these rules on securities.