Event Details

This course will take place at the Work Foundation in London.

It will provide in-depth training in using Matlab in the analysis of high frequency financial data. Advances in computer power and data technology have led to the introduction of high frequency data. These data are vital in understanding issues pertaining to market microstructure noise, and permits the calculation of non-parametric intraday measures of variation that are superior to parametric measures based on daily data. The sheer size of this type of data often pause huge challenges to both researchers and practitioners. As such this course aims, using Matlab and state of the art high frequency data from TICKDATA database, to highlight the best techniques and practices to overcome the empirical challenges of analyzing high frequency data.