High-Frequency Financial Econometrics using Matlab® – 2-day Course

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Professional training

 

 

The purpose of this course is to provide an up-to-date treatment of the core topics in the modelling of high-frequency data. Advances in computing and data technology make it possible to observe markets at very fine intervals of time. Using high-frequency data permits the calculation of realized measures which are superior to volatility measures generated from GARCH and stochastic volatility models. However, the processing and financial modeling of high-frequency data remains a challenge to both researchers and practitioners. This course aims to provide guidance on the techniques involved in processing, filtering and modeling such data. Using data from TAQ and TICK- DATA databases, the attendees will have an intensive introduction to both the theoretical and empirical aspects of high-frequency data.

Course Content

The object of the 2-day course is to demonstrate the empirical techniques and methods employed to analyze high-frequency data with special emphasis on the calculation of realized measures, forecasting and Monte Carlo methods and design.

Specific Objectives

  • Familiarisation  with Matlab syntax, functions and writing new functions
  • Computation of realised measures of volatility
  • Introductions to theoretical foundations and mathematical models of continuous/discontinuous time modeling
  • Forecasting techniques
  • Monte Carlo Simulations: Design and implementation.

Day One

  • Fundamentals of programming in Matlab
  • Importing and exporting data
  • Descriptive statistics and Density/log-density estimation
  • Inter and intra-daily plots
  • Time stamp, frequency conversion and data aggregation
  • Data bases comparison Tick vs TAQ
  • Data Types (Equity, Forex and Indices)

Day Two

  • Estimation of Quadratic Variation and its Components
  • Stylized facts (Normality, persistence and noise)
  • Intra-day periodicity
  • Leverage effect
  • Jump estimation and identification
  • Forecasting using short and long memory specifications
  • Monte Carlo Simulations

 

More Information

Posted on

Start Date

End Date

Type

Professional training

Online%2C%20Lancaster%2C%20United%20Kingdom

Online

Lancaster , United Kingdom