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

Tuesday 23 March 2021, 9:30am to Wednesday 24 March 2021, 5:00pm


online, Lancaster, United Kingdom, LA1 4YW

Open to

All Lancaster University (non-partner) students, Alumni, External Organisations, Postgraduates, Public, Staff, Undergraduates


Cost to attend - booking required

Registration Info

Ticket Price

Academic registration – High Frequency: £600 PhD student registration – High Frequency: £300 Practitioner registration – High Frequency: £950

Event Details

The purpose of this course is to provide an update treatment of the core topics in the modeling 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. As such, this course aims to provide guidance on the techniques involved in processing, filtering and modeling such type of data. Using data from TAQ and TICK-DATA databases, the attendance will have an intensive introduction to both the theoretical and empirical aspects of high-frequency data.

Contact Details

Name Teresa Aldren


Telephone number