{"id":34,"date":"2018-07-05T13:20:05","date_gmt":"2018-07-05T13:20:05","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/matlab-2018\/?page_id=34"},"modified":"2019-03-01T10:17:08","modified_gmt":"2019-03-01T10:17:08","slug":"course-schedule","status":"publish","type":"page","link":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/course-schedule\/","title":{"rendered":"Course Content"},"content":{"rendered":"<p>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.<\/p>\n<p><strong>Specific Objectives<\/strong><\/p>\n<ul>\n<li>Familiarize with Matlab syntax, functions and write own functions<\/li>\n<li>Computation of realized measures of volatility<\/li>\n<li>Introductions to theoretical foundations and mathematical models of continuous\/discontinuous time modeling<\/li>\n<li>Forecasting techniques<\/li>\n<li>Monte Carlo Simulations: Design and implementation.<\/li>\n<\/ul>\n<table style=\"border-collapse: collapse;width: 100%\" border=\"1\">\n<tbody>\n<tr style=\"height: 24px\">\n<td style=\"width: 50%;height: 24px\"><strong>Day One<\/strong><\/td>\n<td style=\"width: 50%;height: 24px\"><strong>Day Two<\/strong><\/td>\n<\/tr>\n<tr style=\"height: 72px\">\n<td style=\"width: 50%;height: 72px\">\n<ul>\n<li>Fundamentals of programming in Matlab<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%;height: 72px\">\n<ul>\n<li>Estimation of Quadratic Variation and its Components<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<tr style=\"height: 48px\">\n<td style=\"width: 50%;height: 48px\">\n<ul>\n<li>Importing and exporting data<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%;height: 48px\">\n<ul>\n<li>Stylized facts (Normality, persistence and noise)<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<tr style=\"height: 72px\">\n<td style=\"width: 50%;height: 72px\">\n<ul>\n<li>Descriptive statistics and Density\/log-density estimation<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%;height: 72px\">\n<ul>\n<li>Intra-day periodicity<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<tr style=\"height: 48px\">\n<td style=\"width: 50%;height: 48px\">\n<ul>\n<li>Inter and intra-daily plots<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%;height: 48px\">\n<ul>\n<li>Leverage e\ufb00ect<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<tr style=\"height: 24px\">\n<td style=\"width: 50%;height: 24px\">\n<ul>\n<li>Time stamp, frequency conversion and data aggregation<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%;height: 24px\">\n<ul>\n<li>Jump estimation and identi\ufb01cation<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<tr style=\"height: 24px\">\n<td style=\"width: 50%;height: 24px\">\n<ul>\n<li>Data bases comparison Tick vs TAQ<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%;height: 24px\">\n<ul>\n<li>Forecasting using short and long memory speci\ufb01cations<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<tr>\n<td style=\"width: 50%\">\n<ul>\n<li>Data Types (Equity, Forex and Indices)<\/li>\n<\/ul>\n<\/td>\n<td style=\"width: 50%\">\n<ul>\n<li>Monte Carlo Simulations<\/li>\n<\/ul>\n<\/td>\n<\/tr>\n<\/tbody>\n<\/table>\n<p><img loading=\"lazy\" decoding=\"async\" class=\"alignnone wp-image-38 \" src=\"http:\/\/wp.lancs.ac.uk\/matlab-2018\/files\/2018\/07\/Nice_Plot.jpg\" alt=\"\" width=\"722\" height=\"361\" \/><\/p>\n","protected":false},"excerpt":{"rendered":"<p>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 &hellip; <a href=\"http:\/\/wp.lancs.ac.uk\/matlab-2019\/course-schedule\/\">Continue reading <span class=\"meta-nav\">&rarr;<\/span><\/a><\/p>\n","protected":false},"author":607,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-34","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages\/34","targetHints":{"allow":["GET"]}}],"collection":[{"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/users\/607"}],"replies":[{"embeddable":true,"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/comments?post=34"}],"version-history":[{"count":8,"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages\/34\/revisions"}],"predecessor-version":[{"id":98,"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages\/34\/revisions\/98"}],"wp:attachment":[{"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/media?parent=34"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}