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

  • Familiarize with Matlab syntax, functions and write own functions
  • Computation of realized 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 Day Two
  • Fundamentals of programming in Matlab
  • Estimation of Quadratic Variation and its Components
  • Importing and exporting data
  • Stylized facts (Normality, persistence and noise)
  • Descriptive statistics and Density/log-density estimation
  • Intra-day periodicity
  • Inter and intra-daily plots
  • Leverage effect
  • Time stamp, frequency conversion and data aggregation
  • Jump estimation and identification
  • Data bases comparison Tick vs TAQ
  • Forecasting using short and long memory specifications
  • Data Types (Equity, Forex and Indices)
  • Monte Carlo Simulations