{"id":78,"date":"2018-10-24T12:46:54","date_gmt":"2018-10-24T12:46:54","guid":{"rendered":"http:\/\/wp.lancs.ac.uk\/matlab-2018\/?page_id=78"},"modified":"2019-03-04T15:28:26","modified_gmt":"2019-03-04T15:28:26","slug":"programme-2","status":"publish","type":"page","link":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/programme-2\/","title":{"rendered":"Programme"},"content":{"rendered":"<p><span style=\"font-size: 14pt\"><strong>Day One<\/strong><\/span><\/p>\n<hr \/>\n<p><strong>9:30 &#8211; 11:00<\/strong><\/p>\n<ul>\n<li>The Interface, editor, comments<\/li>\n<li>Help<\/li>\n<li>Matlab syntax<\/li>\n<li>Decision rules and loops<\/li>\n<\/ul>\n<hr \/>\n<p><strong>11:00 &#8211; 11.20 &#8211; Coffee Break<\/strong><\/p>\n<hr \/>\n<p><b>11:20 &#8211; 12:50<\/b><\/p>\n<ul>\n<li>Matlab functions<\/li>\n<li>Matlab plots<\/li>\n<li>Importing\/exporting files<\/li>\n<li>Data aggregation<\/li>\n<\/ul>\n<hr \/>\n<p><strong>12:50 &#8211; 14:00 &#8211; Lunch Break<\/strong><\/p>\n<hr \/>\n<p><strong>14:00 &#8211; 15:30<\/strong><\/p>\n<ul>\n<li>Tick vs. TAQ Database<\/li>\n<li>Estimation of Intraday returns<\/li>\n<li>Stylised Facts<\/li>\n<li>Data generating process<\/li>\n<li style=\"list-style-type: none\"><\/li>\n<\/ul>\n<hr \/>\n<p><strong>15:30 &#8211; 15:50 &#8211; Coffee Break<\/strong><\/p>\n<hr \/>\n<p><strong>15:50 &#8211; 17.20<\/strong><\/p>\n<ul>\n<li>Estimation of Realised Measures<\/li>\n<li>Jump-Robust Measures<\/li>\n<li>Market Microstructure Noise<\/li>\n<li>Noise-Robust Measures<\/li>\n<\/ul>\n<hr \/>\n<p><span style=\"font-size: 14pt\"><strong>Day Two<\/strong><\/span><\/p>\n<hr \/>\n<p><strong>9:30 &#8211; 11:00<\/strong><\/p>\n<ul>\n<li>Realised Jumps<\/li>\n<li>Jump Test Statistics<\/li>\n<li>Disentangling Significant Jumps<\/li>\n<li>Conditional Variance Models<\/li>\n<\/ul>\n<hr \/>\n<p><strong>11:00 &#8211; 11.20 &#8211; Coffee Break<\/strong><\/p>\n<hr \/>\n<p><strong>11:20 &#8211; 12:50<\/strong><\/p>\n<ul>\n<li>Forecasting Conditional Variance Models<\/li>\n<li>Introduction \/ Estimation to the HAR Model<\/li>\n<li>Forecasting Techniques<\/li>\n<li>Comparison of Conditional Variance from Daily and High-Frequency Measures<\/li>\n<\/ul>\n<hr \/>\n<p><strong>12:50 &#8211; 14:00 &#8211; Lunch Break<\/strong><\/p>\n<hr \/>\n<p><strong>14:00 &#8211; 16:00<\/strong><\/p>\n<ul>\n<li>Value-at-Risk using high-frequency measures and Conditional Variances<\/li>\n<li>Realised Betas: Estimation and Forecasting<\/li>\n<li>Monte Carlo Simulation<\/li>\n<li>Heston Model<\/li>\n<li>Simulating a Heston Model<\/li>\n<li>Simulating Microstructure Noise<\/li>\n<li>Monte Carlo Study &#8211; BNS Test<\/li>\n<\/ul>\n<p>For the programme and references please visit the <a href=\"http:\/\/wp.lancs.ac.uk\/matlab-2019\/files\/2019\/03\/Program_Outline_Final.pdf\">Programme Outline<\/a>.<\/p>\n","protected":false},"excerpt":{"rendered":"<p>Day One 9:30 &#8211; 11:00 The Interface, editor, comments Help Matlab syntax Decision rules and loops 11:00 &#8211; 11.20 &#8211; Coffee Break 11:20 &#8211; 12:50 Matlab functions Matlab plots Importing\/exporting files Data aggregation 12:50 &#8211; 14:00 &#8211; Lunch Break 14:00 &hellip; <a href=\"http:\/\/wp.lancs.ac.uk\/matlab-2019\/programme-2\/\">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-78","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages\/78","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=78"}],"version-history":[{"count":9,"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages\/78\/revisions"}],"predecessor-version":[{"id":107,"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/pages\/78\/revisions\/107"}],"wp:attachment":[{"href":"http:\/\/wp.lancs.ac.uk\/matlab-2019\/wp-json\/wp\/v2\/media?parent=78"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}