Wednesday 25 November 2020, 9:30am to Thursday 26 November 2020, 5:00pm
Venueonline, Lancaster, United Kingdom, LA1 4YW - View Map
Open toAll Lancaster University (non-partner) students, Alumni, External Organisations, Postgraduates, Public, Staff, Undergraduates
RegistrationCost to attend - booking required
Ticket PriceAcademic registration – High Frequency: £600 PhD student registration – High Frequency: £300 Practitioner registration – High Frequency: £950
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.